The 23-year-old was made Chelsea captain with Reece James out injured and Enzo Fernandez suspended by the club.
Palmer didn’t have his best outing as Chelsea progressed to the FA Cup semi-final for the seventh time in the past ten seasons.
Speaking to reporters after the game, Rosenior insisted it was a “natural step” for Palmer to be handed the arm band.
“It's a natural step for Cole and where he is in his career. Cole is so brave, he'll take the ball on the pitch and if he makes a mistake, he'll take it again. That's what I want,” he said.
“You lead in different ways. Cole is a player in big moments who can win you games. Cole and Joao today, they're tracking back and defending. Cole led by example.”
