Praise be to Allaah.
If the cousins are male and female and are young and have not reached the age where they could feel desire and temptation, then there is no harm in their playing together. If they are older, then it is forbidden because cousins are not Mahrams (close relatives whom one is permanently forbidden to marry and with whom the rules of hijaab and segregation are relaxed). Cousins are ‘Ajaanib or strangers (non-Mahrams) to the daughters of their paternal uncles (father’s brothers) and maternal uncles (mother’s brothers). And Allaah knows best.