In this way, you are opening a lot of things of your site to the advertizer. They can grab your users session cookies or even intercept everything they send to you
Just to clarify, as I said it was not an ad tracker, all data was ours and ours only. It was 1st party tracking using a 3rd party service that was blocked by ad blockers. Anyway we don't use cookies for *.mycompany.com, and it was a session-less website.