REST Controller, use Session and Cookies

Hey. I know, I know, REST should be stateless. But I want to create an API that can still make use of cookies and sessions, while maintaining the Content Negotiators and Serializers of the REST Controllers in Yii2.

Any way I can achieve this? Thanks :)

Edit: Actually, having to authenticate the user with every request is not a problem. The problem is I cannot access Yii::$app->request->getCookies(), although $_COOKIES has the correct data.

Any way I can enable the cookies/session component in REST?