Cox, 31, said she is happy that her show got four nominations and feels proud to be a part of it, reported People Magazine.
"I don't feel snubbed. We got four Emmy nominations. We're nominated for best drama. Last year we were in the comedy category. I think it's remarkable!
"There are so many actors who never get to have this kind of moment on this kind of show. Last year when I came to the Emmys I was nominated, it was my first time... It was so insane," she said.
"This year I'm really trying to be in the gratitude of how special and amazing and rare this is. This is a... Gift. It really is. And it's not lost on me."
While the actress did not receive a nomination in the outstanding supporting actress in a drama series category for the award show, her co-star Uzo Aduba is up for the honour for her portrayal of Suzanne 'Crazy Eyes' Warren.