Instead of a try-catch, just us "if (cookieComponents.Length < 2)" 
or, if you want to allow equals signs in the value part of the cookie, do 
int equalsIndex = stringCookie.IndexOf('=');
if (equalsIndex > 0)
{
  string name = cookieComponents.Substring(0, equalsIndex);
  string value = cookieComponents.Substring(equalsIndex+1);
  return new Cookie(name, value);
}