https://support.mozilla.org/en-US/kb/how-to-fix-preferences-wont-save

Note: Some software, like Advanced SystemCare with Surfing Protection, can protect files in the Firefox profile folder against changes. If you have such software then check the settings or uninstall this software.

Macs: Make sure you install Firefox properly and that you do not run Firefox from within the DMG (Disk Images) file. https://support.mozilla.org/en-US/kb/how-download-and-install-firefox-mac

Do you mean the cookies are deleted or the exception list (sites allowed to set cookies) is deleted?

Those are stored in separate files, but one way they might both be cleared is the feature to clear history when Firefox closes. That feature can clear a category called "Site Preferences" that includes your exception list. So I suggest checking that first:

Start on

• Windows: "3-bar" menu button (or Tools menu) > Options
• Mac: "3-bar" menu button (or Firefox menu) > Preferences
• Linux: "3-bar" menu button (or Edit menu) > Preferences
• Any system: type or paste about:preferences into the address bar and press Enter/Return to load it

In the left column, click Privacy & Security and on the right side scroll down to the History section. What is your master setting here?

• Firefox will: Remember history -- you are not using the feature to clear history at shutdown
• Firefox will: Never remember history -- uh-oh, automatic private browsing, data doesn't stick around
• Firefox will: Use custom settings for history -- let's check the details

If the box is checked for "Clear history when Firefox closes" then click the Settings button to the right and make sure you do NOT have a check for Site Preferences.

Does that all look good?