diff --git a/CHANGES/5233.bugfix b/CHANGES/5233.bugfix
new file mode 100644
index 00000000000..ab5544cec3c
--- /dev/null
+++ b/CHANGES/5233.bugfix
@@ -0,0 +1 @@
+Fix cookies disappearing from HTTPExceptions.
diff --git a/aiohttp/web_protocol.py b/aiohttp/web_protocol.py
index 8d5cbaa15cb..dd44d41c18d 100644
--- a/aiohttp/web_protocol.py
+++ b/aiohttp/web_protocol.py
@@ -420,9 +420,7 @@ async def _handle_request(
             finally:
                 self._current_request = None
         except HTTPException as exc:
-            resp = Response(
-                status=exc.status, reason=exc.reason, text=exc.text, headers=exc.headers
-            )
+            resp = exc
             reset = await self.finish_response(request, resp, start_time)
         except asyncio.CancelledError:
             raise
@@ -434,6 +432,15 @@ async def _handle_request(
             resp = self.handle_error(request, 500, exc)
             reset = await self.finish_response(request, resp, start_time)
         else:
+            # Deprecation warning (See #2415)
+            if getattr(resp, "__http_exception__", False):
+                warnings.warn(
+                    "returning HTTPException object is deprecated "
+                    "(#2415) and will be removed, "
+                    "please raise the exception instead",
+                    DeprecationWarning,
+                )
+
             reset = await self.finish_response(request, resp, start_time)
 
         return resp, reset
@@ -492,14 +499,6 @@ async def start(self) -> None:
                 except (asyncio.CancelledError, ConnectionError):
                     self.log_debug("Ignored premature client disconnection")
                     break
-                # Deprecation warning (See #2415)
-                if getattr(resp, "__http_exception__", False):
-                    warnings.warn(
-                        "returning HTTPException object is deprecated "
-                        "(#2415) and will be removed, "
-                        "please raise the exception instead",
-                        DeprecationWarning,
-                    )
 
                 # Drop the processed task from asyncio.Task.all_tasks() early
                 del task
diff --git a/tests/test_web_exceptions.py b/tests/test_web_exceptions.py
index 33b5a4f240a..2b32db05d6b 100644
--- a/tests/test_web_exceptions.py
+++ b/tests/test_web_exceptions.py
@@ -204,3 +204,31 @@ def test_HTTPException_retains_cause() -> None:
     tb = "".join(format_exception(ei.type, ei.value, ei.tb))
     assert "CustomException" in tb
     assert "direct cause" in tb
+
+
+async def test_HTTPException_retains_cookie(aiohttp_client):
+    @web.middleware
+    async def middleware(request, handler):
+        try:
+            return await handler(request)
+        except web.HTTPException as exc:
+            exc.set_cookie("foo", request["foo"])
+            raise exc
+
+    async def save(request):
+        request["foo"] = "works"
+        raise web.HTTPFound("/show")
+
+    async def show(request):
+        return web.Response(text=request.cookies["foo"])
+
+    app = web.Application(middlewares=[middleware])
+    app.router.add_route("GET", "/save", save)
+    app.router.add_route("GET", "/show", show)
+    client = await aiohttp_client(app)
+
+    resp = await client.get("/save")
+    assert resp.status == 200
+    assert str(resp.url)[-5:] == "/show"
+    text = await resp.text()
+    assert text == "works"