You can within the CCleaner program itself choose which cookies to clean and which to keep.
Most browsers can be configured to accept some and reject others. If you use one of the Gecko browsers, SeaMonkey, Firefox, Flock, or K-Meleon, you can install Cookie Monster, CS Lite, Permit Cookies, Cookie Safe, or some other cookie management extension. I use these aforementioned Gecko browsers and use CS Lite on some and Cookie Monster on others.
You find more danger from Flash cookies, why I have the BetterPrivacy extension in SeaMonkey, Firefox, and Flock. I have Clearflash extension in K-Meleon. Read about flash cookies here. With the BetterPrivacy extension you can observe, manage, and delete the flash cookies. For the other browsers you can get the NirSoft program FlashCookiesView.