Manual:$wgCookieDomain

Cookies: $wgCookieDomain
Explicit domain for login cookies.
Introduced in version:pre 1.1.0
Removed in version:still in use
Allowed values:(string)
Default value:''

Details edit

Set to an explicit domain on the login cookies, e.g. thissubdomain.mydomain.org or .mydomain.org for all your subdomains.

By default this isn't set, so php's setcookie function will just set a cookie on the current domain. This is a bad thing if e.g. your site is available from both www.example.com and example.com, since users that log into the former will be logged out as soon as they visit the latter.