We perform relativistic hydrodynamic simulations of the formation and evolution of AGN cocoons produced by very light powerful jets. We calculate the intensity maps of the Sunyaev-Zeldovich (SZ) effect at high frequencies for the simulated AGN cocoons using the relativistically correct Wright formalism. Our fully relativistic calculations demonstrate that the contribution from the high temperature gas (kb Te ~ 100 keV) to the SZ signal from AGN cocoons at high frequencies is stronger than that from the shocked ambient intercluster medium owing to the fact that the relativistic spectral functions peak at these temperature values. We present simulations of the SZ effect from AGN cocoons at various frequencies, and demonstrate that SZ observations at 217 GHz and at higher frequencies, such as 857 GHz, will provide us with knowledge about the dynamically-dominant component of AGN cocoons.