The PHP $_COOKIE variable is a reserved variable and Array in PHP which contains cookies in the browser stored by PHP, Javascript and other languages.

If for any reason you are using PHP setcookie() or Javascript document.cookie to set cookies and the PHP $_COOKIE variable remains empty it might actually be a server configuration that causes this.

I recently came across this and wrote a test script like this:

setcookie('test', 'test', strtotime("+1 day"), '/');

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.