Four short lines, and each one seems to shrink the world a little more. The speaker begins with an irritation: a burr caught in the "hose," which here most likely means stockings or trousers. The old-fashioned word "vex" makes this tiny annoyance sound almost grand, as if it were a real affliction.
Then a dove arrives, a stranger who "came to go." That line is odd and lovely. The bird seems to exist only to pass through, and the speaker, who doesn't know it, can only watch. It might suggest a visitor, a feeling, or a moment of peace that can't be held onto.
The last line brings the poem home. The speaker wraps up in a dry sheet, which suggests shelter, comfort, and withdrawal, and fits the title's cocoon. The mood is quiet and inward: a little prickly at first, then gentle and self-protective, as though after the small disturbances the speaker simply wants to be warm and still.