perhaps a UX like this might work?
is session active?
yes --- continue as normal
no --- redirect below
Ask user if they want a cookie
yes -- continue as normal
no -- redirect below
Present info to user that they are not allowed to continue using your wesbite as it needs a cookie setting which they have refused. Present a form inviting them to vent their spleen at firstname.lastname@example.org.
Just need to get an email addy out of the beauro's that people can vent to...