Not quite cosmic horror, but kind of fitting what you're looking for in the "shouldn't have been poked" sense:

The Three Body problem -- but particularly the second book The Dark Forest -- which has a somewhat novel solution for the Fermi paradox. Don't shine your flashlight in a forest full of monsters, real or imagined. Become the monster.

The Stars are Legion is a sort of body horror writ on a space colony scale. Won't spoil it too much, but have you ever wanted human mutation taken to the extreme -- to the point of megastructures made of humanity?

The Sparrow, sometimes referred to as Jesuits in Space, is sort of a Heart of Darkness type tale where well meaning missionary/anthropologist types poke things they shouldn't. They don't unleash cosmic horror, but just the horror of truly unknowable otherness. It resonates with some and falls flat with others.