Call HTTP Web Service ignores Cookie Header

I'm working with SharePoint Online 2013 and I'm trying to consume an OData Service from my workflow using the "Cookie" header inside the request message.


I run the site workflow manually and I capture the HTTP request using Wireshark.

As you can see some headers are included (such as the header "From") with the correct value, but the "Cookie" header never seems to be included in the message. I also tried to build the workflow inside a SharePoint App and the workflow generates the same request message. I think that SharePoint excludes the "Cookie" header for some reason but I cannot figure out why. 
Can anyone tell me what happens?

Thanks

Andres Nebel