The closest thing I can think of to cozy fantasies are actually... cute fluffy Regency fantasies, and maybe some of the early children's fantasy books (eg. Mary Norton's The Borrowers is pretty cozy) But those are clearly set in an earlier era so it's not quite the same.

Maybe... DWJ...? (I mean, Archer's Goon is SORT OF cozy until the spaceship and time travel show up....? Black Maria was like, CREEPY COZY? IT'S A STRETCH BUT)

Sadly I can't think of any modern day versions. I think urban fantasies get a little too ~ALPHA MALE~ and THE FATE OF THE WORLD/UNIVERSE/ETC IN YOUR HANDS to have the cozy effect. Clearly this is a niche people should get into, RIGHT NOW.