Cookies arent supported directly, you could write your own ParameterBuilderPlugin to support it, but I agree that it would be nice to have native support

I second @jaydenlin. This feature would be really appreciated.
Until this feature is supported natively, I have written a custom ParameterBuilderPlugin as suggested by @dilipkrish. I am pasting it here so that other people reading this issue don't have to spend a couple of hours figuring out how to write it (as I had to) :)

Using Springfox 2.4.0:

@Component
@Order(SwaggerPluginSupport.SWAGGER_PLUGIN_ORDER + 1000)
public class SwaggerCustomParameterBuilderPlugin implements ParameterBuilderPlugin {

    @Override
    public void apply(ParameterContext context) {
        if (isCookieValue(context)) {
            context.parameterBuilder().parameterType("cookie");
        }
    }

    private boolean isCookieValue(ParameterContext context) {
        return Arrays.stream(context.methodParameter().getParameterAnnotations())
                .anyMatch(annotation -> annotation.annotationType() == CookieValue.class);
    }

    @Override
    public boolean supports(DocumentationType documentationType) {
        return pluginDoesApply(documentationType);
    }
}

+1 to @jaydenlin's request. It's a little frustrating to have to create so much extra config for one parameter. However, thanks to @mmsoares for the workaround config I have what I need. I had to update my isCookieValue slightly to allow for the deprecated methodParameter()

Using Springfox 2.9.2:

@Component
@Order(SwaggerPluginSupport.SWAGGER_PLUGIN_ORDER + 1000)
public class SwaggerCustomParameterBuilderPlugin implements ParameterBuilderPlugin {

    @Override
    public void apply(ParameterContext context) {
        if (isCookieValue(context)) {
            context.parameterBuilder().parameterType("cookie");
        }
    }

    private boolean isCookieValue(ParameterContext context) {
        List<Annotation> annotations = context.resolvedMethodParameter().getAnnotations();
        return annotations.stream().anyMatch(annotation -> annotation.annotationType() == CookieValue.class);
    }

    @Override
    public boolean supports(DocumentationType documentationType) {
        return pluginDoesApply(documentationType);
    }

}

+1

This makes me crazy.
I started without parameters, everything works.
I've added a @CookieValue, without swagger GUI-reload, everything still works.
I've added new methods, swagger reload, new method works.
So I've add next few methods, swagger reload, new method still works.
I've decided to move first method, swagger reload, and the first one method wasn't possible run thru swagger GUI :-(
I've spent a few hour of finding bug in my own code :-(

Many thanks for workaround. Because there is no imports, the last method should be :

    @Override
    public boolean supports(DocumentationType documentationType) {
        return SwaggerPluginSupport.pluginDoesApply(documentationType);
    }

I'll try to fix this if possible.

I've just bumped up to v3 and this issue has come back for me again (as in the solution above no longer works for me). I see parameterBuilder has been deprecated and assume it needs to be replaced with something else. Would you be able to share what that is @dilipkrish

after added @CookieValue, example values for my request body are gone...it's really annoying