Ahh yes, this occurs when downloading a file in Incognito Mode that is handled outside of the browser. For example, if you download a .wmv file in Incognito Mode, it is opened by Windows Media Player (or whatever program handles wmvs on your computer) and WMP will not know to hide the history of that file. However, the actual browsing history and cookies are not saved.
It may be possible to piece together an idea of what sites were visited by traces left behind in Flash cookies if your Chromium and Flash are old versions that do not obey privacy mode policies. To view the Flash cookies on a Windows computer, open a window and copy this into the folder address: [b]%APPDATA%\Macromedia\Flash Player#SharedObjects[/b], then open the 8-digit randomly named folder. Inside you should see the domain names of sites that are storing Flash cookies (assuming Chromium does not delete Flash cookies in incognito mode).
Here’s a picture of my Flash cookie folder, showing cookies for Gmail and Youtube:
groups.google.com/a/chromium.org … wc=1&pli=1