z5 is about half the US and wildly variable .... so anything is possible .. imo ... and experience ... sometimes we slip in a z6 or 7 winter .. though in my MI.. its more likely to be a z4.. lol ...

forgive me.. but it also pops in my head.. are you sure on the ID ...could a coreopsis be confused with a cosmo ...

https://duckduckgo.com/?q=cosmos+flower&t=ffcm&iax=images&ia=images

https://duckduckgo.com/?q=coreopsis&t=ffcm&ia=images&iax=images

ken

ps: as an aside ... back in the 1960s .. i think we got our first cosmo seed pack in a box of cereal ... lol

They aren't perennial in my Zone 5, but they do reseed.

The most common cosmos, the pink and white and the yellow and orange are annuals, but they often self-seed. That's what comes up the next year.

A few years ago I planted one Tropical Milkweed in my NJ yard and it reseeds itself annually to the point of weediness! (Zone 7)

Amaranthus too is another "tropical" that can become a "weed" in the North.

Your cosmos probably didn't winter over but it probably dropped seeds. I have had Cosmos come back in my Zone 4 garden but it is always from dropped seed.