But with the Blues struggling to overcome their Championship neighbours, Grant brought on Didier Drogba and ordered the England full-back to hand over the armband.
Cole did so but looked bemused - especially as Drogba has never been skipper before either.
Grant insisted he did it for the team.
He said pointedly: "Drogba is a leader. Many players who are leaders here did not play against QPR, so we gave it to Ashley.
"I think he is a good example for all the others, always giving 100 per cent, always happy.
"I like Ashley, so he deserved to be captain. But there are other options for leaders in the team."
This latest decision could put strain on Cole's relationship with Grant.