Eating the last cookie without sharing? That's just mean. But if you stole that cookie and then lied about it, that would be morally wrong, or unethical.
The prefix un- means "not," so something or someone who's unethical is literally "not ethical." In other words, that someone is lacking principles or morals. Because being unethical involves going against social or professional expectations of what's right, it's a word that's often used to describe bad behavior or immoral conduct. So like the great philosophers, you can decide if Cookie Monster has an ethics problem — or just bad eating habits.