No, they are not. Cookies are nothing more than a tiny record consisting of a domain that set the cookie, an expiration date and the name/value pair. Cookies are highly restricted by the browser and can't be made to compromise your computer. Cookies are simply text and nothing more. They can't execute a program, nor can they be used to spy on you.

Chrome, Firefox, Internet Explorer, Opera, Safari all allow some level of cookie verification.
They have menu options that allow you to accept all, some, or none of your incoming cookies.

A possibility is that you may be running software that interferes with cookie usage. There are many filtering and blocking software packages available for Internet users these days, and many of them also filter cookies. If you are running software like this, then your computer may not receive or send cookies. This will cause sites you visit to assume you are not accepting cookies.
 
Another possibility is that your machine may be behind a firewall or proxy server that prevents cookie transmission. This is most likely in a corporate environment. So, regardless of how your browser is set, cookies won't be sent or received by your browser. Since the cookies aren't making it through to your browser, the Web Site will assume you personally aren't accepting them.