Sneha Sharma , You are referring to this page i guess. The authentication request gives back in it's response a cookie that should be used by any follow up call. You can use this when you program an API. Some client libraries have the concept of an session (e.g. python's requests package), that takes care of handing cookies automatically. Other tools like curl, you can explicitly save the received cookies in a file and use them with the next call.

As mentioned in document header will be none in response what does it mean?

Cookies will not come in header?

Sneha Sharma , Yes cookies are also listed in the header section of a response, so it is correct to state that cookies are part of the headers. Most documentation (incl. LR's) is not in a formal way and complete specified.So when the documentation makes distinction between Headers and Cookies at many places in documentation you might draw an intuitive conclusion from that. With that conclusion you can answer your question.

It is also very easy to make a test to validate such an interpretation. This will speed up your learning curve and development time.

Success, Erik