Ever since Cobra lost his job at Wendy's, he's been saying something to the effect of:
He's sometimes not as explicit as that but he has been in moments of vulnerability, like you mentioned above. Cobra realized a long time ago that he's simply too braindead to ever amount to anything, he puts on a nice facade and it serves to protect his ego well enough but in his heart, he knows what he is and it's why he's so terrified of criticism. It is a deeply painful thing for him to face the truth he already knows. So he's regulated himself to being the town drunk, where every single day is a party, he can embody hedonism and he doesn't give a fuck because he's going to die anyway, he would much rather die happy in a pool of his own vomit, surrounded by people who frankly worship him than aspire to be the most he could ever be without it; A fucking Walmart greeter for 40 years.