Finally I found out what's happening with cookies list and how to bring it back. You don't even need to close CCleaner during this process.
1) Turn on "Options/Advanced/Save all settings to INI file"
2) Open "C:\Program Files\CCleaner\ccleaner.ini" with administrator rights in any text editor.
3) Find the line starting with CookiesToSave=|
4) Remove pipe | after = and save the file
5) All cookies are in place now
If you prefer you can turn off "Options/Advanced/Save all settings to INI file" now