It seems that cocoon is missing this functionality, however I just forked the repo and added it. For now, you can do as follows:
Change in your gemfile:
gem 'cocoon', git: 'https://github.com/BroiSatse/cocoon.git'
Then modify your handler:
$(document).delegate '.phones', 'cocoon:before-remove', (e, item, result) ->
tel = $(item).find('.tel .form-control')
conf = true
if tel.val().trim() != ''
conf = confirm('Are you sure you want to delete this phone?')
if conf
$(@).data('remove-timeout', 1000)
item.fadeOut('slow')
else
result.val = false
Note the extra param for the handler.