Is it possible to set a cookie without a domain?
This will mean all domains will have access to it.
No, that is not possible. If a cookie doesn't declare a domain, the browser will assume the domain of the object requested.
What you're asking for is generally considered a security, or at least privacy, risk. It's possible to configure browsers to allow access to cookies from other than the domain that they were created, but browsers aren't commonly configured that way.