Cookies (and peanut butter sandwiches) always required a glass of milk, for me. Once I decided not to drink it anymore, my cookie intake dropped for a while. Eventually I realized what it was about breastmilk I enjoyed so much with cookies. It's partly the fact that it's cold, partly the fact that it's basic (not acidic like juice or pop), and partly the fact that it's creamy.
Coconut 'milk' (and some nut milks) are able to substitute in very satisfactorily for me.