Afterwards, Cobos spent three-and-a-half years with Paris Saint-Germain FC, helping with 14 matches as the capital side won the league in 1994 and he was a more important part of the first-team unit in the following season, as they conquered the Coupe de France. Additionally, in the latter season, he played in all the games to help his team reach the last-four in the European Cup. He also helped them win the 1995–96 UEFA Cup Winners' Cup, but he was not part of the squad for the final, and the 1995 Trophée des Champions.