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The actress said she was furious when snappers followed her to the funeral of a friend's son.
The 43-year-old and husband David Arquette also struggle to cope with paparazzi taking pictures of their three-year-old daughter Coco.
She told New!: "David gets upset if photographers try to take pictures when we're with Coco.
"The worst place was at a funeral for a friend's son. The paparazzi followed me there, and it was just horrible."
Cox recently defended her decision to spoof Britney Spears' recent troubles in her show Dirt.
