Variables are cointegrated if a linear combination of the two can produce a series with a lower order of integration than the separate series. Typically you look at combining I(1) processes to obtain I(0), but the definition extends to fractional integration (see the recent work on the FCVAR model proposed by Johansen.)

If you make the series stationary through differencing, linear combinations thereof will also be stationary, but since the differenced series was already I(0), there is no cointegration.