That’s because they don’t have to let you do that and mostly it’s counterproductive to let you do that.

A prime example for a cookie with “legitimate interest” is a session cookie. Your shopping cart or even staying logged in wouldn’t work without it, so it’s not a good idea to even give the user the choice.

Legitimate basically means “needed for the function of what you’re trying to do on that website”, so ads are not it, but session cookies are. Everything in between is up for debate. (Usage tracking etc.)