Far-infrared vibrational spectroscopy by multiple photon dissociation has proven to be a very useful technique for the structural fingerprinting of small metal clusters. Contrary to previous studies on cationic V, Nb and Ta clusters, measured vibrational spectra of small cationic cobalt clusters show a strong dependence on the number of adsorbed Ar probe atoms, which increases with decreasing cluster size. Focusing on the series Co_4^+ to Co_8^+ we therefore use density-functional theory to analyze the nature of the Ar-Co_n^+ bond and its role for the vibrational spectra. In a first step, energetically low-lying isomer structures are identified through first-principles basin-hopping sampling runs and their vibrational spectra computed for a varying number of adsorbed Ar atoms. A comparison of these fingerprints with the experimental data enables in some cases a unique assignment of the cluster structure. Independent of the specific low-lying isomer, we obtain a pronounced increase of the Ar binding energy for the smallest cluster sizes, which correlates nicely with the observed increased influence of the Ar probe atoms on the IR spectra. Further analysis of the electronic structure motivates a simple electrostatic picture that not only explains this binding energy trend, but also why the influence of the rare-gas atom is much stronger than in the previously studied systems.