Hey kaswar!
Even though Avast! has a anti-spyware component,I really do not thank that extends to cookie wrangling.
I do not thank Avast deleted your cookies.
Do you use any kind of "cleaner" program such as CCleaner, Advanced WindowsCare,
or ATF-Cleaner?
These tend to remove cookies if they are not saved.
Do you use SpywareBlaster?
Otherwise as I do not use IE,someone else can address its settings for cookie survival,but I am pretty sure its not AVAST! that is removing them.