The magnetic structures of the title compounds have been studied by neutron diffraction. In contrast to the isomorphous RNi2B2C compounds wherein a variety of exotic incommensurate modulated structures has been observed, the magnetic structure of ErCo2B2C is found to be collinear antiferromagnet with k=((1/2),0,(1/2)) while that of HoCo2B2C and DyCo2B2C are observed to be simple ferromagnets. For all studied compounds, the moments are found to be confined within the basal plane and their magnitudes are in good agreement with the values obtained from the low-temperature isothermal magnetization measurements. The absence of modulated magnetic structures in the RCo2B2C series (for ErCo2B2C, verified down to 50 mK) is attributed to the quenching of the Fermi surface nesting features.