The 34-year-old made her debut in 2007 and has played 64 matches since, scoring a record 382 points and winning the World Cup in 2010 and 2017.
"I feel incredibly fortunate for the experiences rugby has given me," Cocksedge, a scrum-half, said.
"It's not over for me yet. I have a massive job ahead of me.
"I will do all I can to earn my spot in the Black Ferns and fulfil my dream of playing in a Rugby World Cup on my home turf."
New Zealand Rugby chief executive Mark Robinson called Cocksedge "a legend" and "genuine leader in the women's game".