Just to chime in that I am too having this issue, with Windows 8 Pro 64-bit/IE10. Never been a problem for all the years I have used CCleaner and the various versions of Windows /IE. And of course I do not have the 'delete Index.dat' files option selected.
I have noticed that there seems to be a bit of a random element to this, it doesn't lose the cookies after every single reboot, just most reboots. Might be something to do with using CCleaner more than once in between reboots, I don't know.
Very annoying though, so good luck tracking down and fixing this issue!
KenN