I recently came across this and wrote a test script like this:
setcookie('test', 'test', strtotime("+1 day"), '/'); print_r($_COOKIE);
But printing the PHP $_COOKIE variable did nothing, just an empty Array.
After doing some tests the conclusion was that Apache mod_security caused this.
The mod_security can be configured to prevent cookie attacks and blocks them completely.
Here is a useful article showing you the technical configurations.
The solution is to turn off Apache mod_security or cookie filter configuration in it.