I own several Cocolino's. They work fine with all of the mice I've thrown at them. Standard PS/2, USB (with adapter), and optical.
I guess the obvious question is, is that CD32 the only Amiga you own? Have you tried it ("it" meaning the Cocolino) with any other Amiga? That should verify pretty quickly whether the problem is with the CD32 or the Cocolino.