Even though it is close to cakes and other sweetened breads, cookies usually do not use water for cohesion. Water in cakes makes the base (in the case of cakes called "batter") as thin as possible, which allows the bubbles to form better. Cookies do not have bubbles, so they do not need this. In cookies, some form of oil or fat is used for cohesion. Oils, like butter, egg yolks, vegetable oils or lard are much more viscous than water and evaporate freely at a much higher temperature than water. So a cake made with butter or eggs instead of water is more dense when cooked.