Most of the time, Antivirus is able to deflect Tracking Cookies before being written to the disk. If they are not written to the disk, there is no location available.
Another cause may be because of the way Cookies are saved in Browsers.
In Internet Explorer, we can display the location as the Cookies are individual files in the filesystem.
In other Browsers, Temporary Files and Cookies are kept inside Cache Files. Therefore a location is also not available.