Cosgrove argues that it is more logical for Scots to lend their support to players at the World Cup from Scottish clubs.
Celtic's Henrik Larsson and Johan Mjallby and Rangers' Claudio Caniggia are playing for England's first-round opponents, Sweden and Argentina respectively.
Hibernian's Ulises de la Cruz is with Ecuador, Dundee's Fan Zhiyi with China, while Rangers pair Peter Lovenkrands and Jesper Christiansen, plus Aberdeen's Peter Kjaer, are with Denmark.
Meanwhile, Sir Alex disclosed that he has backed Brazil to win the World Cup, at odds of 8-1, because the weather conditions will not suit a European side.
However, the Scot suggested that his club's own fit-again England captain, David Beckham, would be a star of the tournament.