I think the assets are served via cookie less connection.
prasanth:~/ $ http get http://cdnjs.cloudflare.com/ajax/libs/jquery/2.1.1/jquery.min.js [18:22:12]
HTTP/1.1 200 OK
Access-Control-Allow-Origin: *
CF-Cache-Status: HIT
CF-RAY: 13f0d5579cd70bab-HKG
Cache-Control: public, max-age=30672000
Connection: keep-alive
Content-Encoding: gzip
Content-Type: application/javascript
Date: Mon, 23 Jun 2014 12:54:17 GMT
Expires: Sat, 13 Jun 2015 12:54:17 GMT
Last-Modified: Thu, 01 May 2014 17:45:11 GMT
Server: cloudflare-nginx
Transfer-Encoding: chunked
Vary: Accept-Encoding
Edit: found this other thread[1] where the above is not true for cloudflare customers.
[1] - https://news.ycombinator.com/item?id=4912134