The 23-year old Arsenal forward is currently preparing for England's friendly with Brazil on Wednesday night and has thanked the Chelsea pair and Liverpool skipper, particularly Cole who is set to make his 100th appearance, for helping him in the early stages of his international career.
"It is a fantastic achievement. There are only a few top-class players in that category (who reach 100 caps) and I am sure there will be many more to come," said Walcott.
"He is a difficult player to play against. I learned a lot from him. I got the better of him in the last couple of meetings, which I wind him up about all the time.
"We get on very well. I am only going to learn from the likes of him, Steven and Frank.
"Ashley is massively important. He is so experienced and has won many things. A lot of players look up to him.
"He is a strong character. He can deal with anything. It is all about the game. Nothing fazes him. He is very concentrated."