I had the same issue and was concerned for my computer's security. At the time I did not have an antivirus so I was susceptible to all kinds of malware, I got worried on how it knew my ZIP CODE too! So I eventually downloaded Avast! Free antivirus, and Spybot - Search and Destroy. A scan with both and I cleaned my computer and removed most of my cookies. I also scanned with MalwareBytes. This problem is usually caused by Adware or internet browser Cookies. I only use Firefox so I do not know if there is a way to disable cookies in Chrome, Safari, Internet explorer, or Opera, but I would be careful with them. Adware though usually throws up pop-ups, predominately porn websites or rogue antivirus ads that are run with a video software in a secondary browser.
But there is no reason to worry if they have your state on ads, when it gets to the point that they show your address, zip code, or even postal code, then it's time to do some work and remove the cookies and/or adware that may be on your system.