jquery.cookie.js is loaded only for authenticated users, by jQuery update module
The jQuery.cookie library is not always included, it depends the user state and the visiting page.

For example, the login form includes this library by attaching (#attached) it to the form.

What you could do is include it yourself in a custom module or in your theme.

// hook_init()
function YOURMODULE_init() 
{
     drupal_add_library('system', 'jquery.cookie');
}

// or in theme preprocess
function YOURTHEME_preprocess_page(&amp;$vars)
{
     drupal_add_library('system', 'jquery.cookie');
}