I get annoyed by it too, because sometimes I want to read an article but don't necessarily want fb to continue serving those articles to me. I don't really know what happens inside the Facebook machine, but I imagine clicking a link indicates you are interested in a topic. Sometimes I just want to read trash.
Yes, I tend to do something along those lines when I don't want to be tracked. To the original point, it's an annoying extra step to have to do but not unreasonable enough to stop using the site, I'm simply answering your question on why someone might find it annoying.
