**Prove it for invertible matrices:**
If $A$ and $B$ are invertible then the statement holds because: $$ A^{-1} = \frac{1}{\det A}(\text{ cof } A)^T $$ Can be turned into: $$ \text{cof }A = \left[(\det A)A^{-1}\right]^T $$ Then $\text{cof } A \text{ cof } B = \text{ cof } (AB)$ follows.
**Generalization:**
$\text{cof } A \text{ cof } B = \text{ cof } (AB)$ can be seen as a polynomial equation with $2n^2$ unknowns with integer coefficients. In a polynomial ring with coefficients in $\mathbb{Z}$, we may use the fact that $A$ and $B$ will be invertible in the field of algebraic fractions with coefficients in $\mathbb{Q}$. Then because of our first step, the equation holds in general because we are allowed to replace the unknowns with any elements from a commutative ring.