The feature is called “Private Click Measurement”[1] and is on by default. It’s “a privacy-preserving way to measure clicks that result in cross-site navigations, such as ad clicks that result in a purchase or a sign-up.”[2]
It’s live on iOS (14.5) and macOS (Safari 14.1).
To turn it off on macOS: Safari → Preferences… → Privacy → Web advertising.
To turn it off on iOS: Settings → Safari → Privacy Preserving Ad Measurement.
[1]: https://webkit.org/blog/11529/introducing-private-click-measurement-pcm/
[2]: https://privacycg.github.io/private-click-measurement/