This problem can have two angles whether this could be related to your specific browser or with your ColdFusion application:
First and foremost can you check it on Firefox or IE just to isolate if this is specific to Chrome. (As I have seen this to come on Chrome more than often)
if it works on Other Browsers:
probably Chrome is at fault. Go to settings (Options -> Under the Hood -> Content Settings -> Cookies -> Show cookies and other site data)
Enter your problem URL in search bar and it would list all related cookies.
Select "Remove all"
if it FAILS on other browsers as well:
Can you check with perhaps another test application?
Please check with following article by Ben Nadal -- http://www.bennadel.com/blog/1666-Ask-Ben-Enforcing-An-SSL-HTTPS-Connection-Based-On-Request.htm
If this persists, please add some more information, on how this has been set up.
Cheers, Anjaneai