Cooksey, who was 28, played last season with Blue Square Premier League side Grays.
He started his career at Crawley but made his name at Oldham, where he made 41 appearances before joining Rochdale in September 2004.
A statement issued by Oldham Athletic said: "The club would like to pass on their sincere condolences and best wishes to Ernie's family at this sad time."
Rochdale's statement read: "Everyone at Rochdale is terribly saddened by this news and our thoughts, prayers and best wishes go to his family at this tragic time." Tweet
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It only seems like yesterday when you heard Ernies name mentioned on commentry games on GMR sports. That was very quick he must have been very poorly when it was released by the press 5 months back.
My thoughts are with his family and all at Oldham an Rochdale football club.
Dave City Fan.
RIP Ernie, you'll never be forgotten at boundary park! A true gentlemen and latics legend!
A terrible tragedy that somebody so young should be taken away from us. Ernie was a true fans footballer, a real legend at Dale, one that gave 100% every time. And so sad that he never got to see his child that is due in 4 weeks time. Its just not fair!
God bless Ernie lad. At least you are no longer in pain.