Fetching the value of forms in WordPress AJAX

You should rename your function to set_lead_cookie_and_mail and change it in the add_action() as well.
It looks like your action set_lead_cookie_and_mail in your ajax call is never reached, does it even exist?

Hata!: SQLSTATE[HY000] [1045] Access denied for user 'divattrend_liink'@'localhost' (using password: YES)