When on the phone, 'cookies' is a way to ask the other person if there are any listeners. This indicates that something is about to be said that should be kept under wraps. Used on land line phones to normally avoid, parents, siblings, co-workers, etc.
Person 1: Man! You should've been there last night, I was......wait, cookies?
Person 2: *looks around, looks at phone* Nah, you're good
Person 1: So I was with this babe in Vegas right,.......