Silkworm Cocoons are not released on NA/EU as yet however I "gathered" some Silk Thread (as well as Flax Thread, Knitting Yarn & Cotton Yarn) from Laundry Rack in Behr.

After reading more into this, you should be able to obtain them from "gathering" some random items in and around all towns including Barrels, Crates, Sacks and the like.