I think the assets are served via cookie less connection.

    prasanth:~/ $ http get http://cdnjs.cloudflare.com/ajax/libs/jquery/2.1.1/jquery.min.js                                           [18:22:12]
    HTTP/1.1 200 OK
    Access-Control-Allow-Origin: *
    CF-Cache-Status: HIT
    CF-RAY: 13f0d5579cd70bab-HKG
    Cache-Control: public, max-age=30672000
    Connection: keep-alive
    Content-Encoding: gzip
    Content-Type: application/javascript
    Date: Mon, 23 Jun 2014 12:54:17 GMT
    Expires: Sat, 13 Jun 2015 12:54:17 GMT
    Last-Modified: Thu, 01 May 2014 17:45:11 GMT
    Server: cloudflare-nginx
    Transfer-Encoding: chunked
    Vary: Accept-Encoding

Edit: found this other thread[1] where the above is not true for cloudflare customers.

[1] - https://news.ycombinator.com/item?id=4912134