Cooksey started the 2004–05 season with Oldham Athletic, playing one match, away against Luton Town on 7 August. He was released by Oldham on 15 September, after he was left out of manager Brian Talbot's plans. He dropped down into the Third Division, newly renamed as League Two and signed for Rochdale a day later on 16 September, despite discussing terms with Carlisle United. He made his debut, away against Mansfield Town in the 1–0 away defeat on 18 September. During his first season with Rochdale, Cooksey picked up six yellow cards and two red cards on the field. However, his first red card of the season against Notts County was later overturned and downgraded to a yellow after a successful appeal to The FA.