rainborick - 5:54 am on Jun 26, 2012 (gmt 0)
This sounds like an over-zealous scanning report. Cookies are a common practice. Although they can be abused in terms of privacy, there's nothing inherently malicious or dangerous about them.
Many common blog, CMS, and shopping cart scripts rely on cookies, so if you have such a script on your site you can pretty much assume that's the source. And, if so, you're pretty much stuck with cookies as long as you use that script.
On the whole, I'd ignore the warning.