When you use forms authetication, an authentication token is required to identify the returning user so that his session information can be provided to him.
When we use cookieless i.e. when this information is stored in the URL the cookies are not required to be enabled on client side. So even the users with disabled cookies will be able to access session information.
Please refer to these 2 articles for more details on forms authentication and sessions.
Understanding Session Management Techniques in ASP.NET
Understanding and Implementing ASP.NET Custom Forms Authentication