Well, I looked for such folder under var, etc, usr and other folders to no avail.
Then, I started my search online "where does Firefox store cookies on Linux?"
Fortunately, the page Unix & Linux from Stack Exchange came to my rescue.
Firefox uses this:
That is a sqlite database.
Also, you can view on Firefox some info of the cookies from any site you visit. To do so, you go to "Edit / Preferences / Privacy and Security" and there, you look for "cookies and site data". There, you can view the number of cookies and space each site has. You can also delete cookies from there.