I do not know the answer to this but include this from the Wikipedia Spyware information entry:
"Browser cookies"
"Anti-spyware programs often report Web advertisers' HTTP cookies, the small text files that track browsing activity, as spyware. While they are not always inherently malicious, many users object to third parties using space on their personal computers for their business purposes, and many anti-spyware programs offer to remove them.[30]"
Many of the so called malware programs I use remove cookies. Mikes6