Thought experiment: If I go outside and point at the moon, the cosine of the angle between the position vector of my finger and the position vector of the moon relative to me is 1.[1] However my finger is very much not on the moon. The distance between the two vectors is very large even though their angle is zero.
That's why it's cosine similarity not cosine distance. If your embedding methodology is trained such that the angle between vectors is a good enough proxy for distance then it will be[2]. But it's not a distance measure.
[1] because the angle is 0 and cos 0 = 1.
[2] A self-fulfilling prophesy but this actually is in the power of the people making the embedding to make true, presumably because the training will disperse the embeddings such that their magnitude is roughly equal so you'll have a kind of high-dimensional sphere of embeddings with most of the actual vectors ending on the outside of the sphere and not too many points far on the interior and not too many points spiking way out the sides. It seems OpenAI also normalize all the vectors so they are all unit vectors so the magnitude doesn't matter. But it's still not a distance measure.