This song could easily be a sequel to "Not Gonna Get Us". In that one, they're running away, and in "Cosmos", they've already run away, and are now finally in the place where they can be free. In the song, the cosmos is the perfect refuge to run away to, it's beautiful ("stars are dancing", etc), they're "meant to be" there, it's a secret place where life is not complicated. I don't think they're necessarily "happy" there; the song seems to be more about being at peace, which is the perfect followup to "Not Gonna Get Us", where they were worried about being pursued and hunted down.
This song could easily be a sequel to "Not Gonna Get Us". In that one, they're running away, and in "Cosmos", they've already run away, and are now finally in the place where they can be free. In the song, the cosmos is the perfect refuge to run away to, it's beautiful ("stars are dancing", etc), they're "meant to be" there, it's a secret place where life is not complicated. I don't think they're necessarily "happy" there; the song seems to be more about being at peace, which is the perfect followup to "Not Gonna Get Us", where they were worried about being pursued and hunted down.