According to the version 8 Application Development Guide, these are the supported COBOL compilers for DB2 on Windows:
Micro Focus COBOL Version 4.0.20
Micro Focus COBOL Net Express Version 3.1.0
IBM VisualAge COBOL Version 2.0
On AIX the following are listed:
IBM COBOL Set for AIX Version 1.1
Micro Focus COBOL Server Express Version 2.0.10
Check the manual for other platforms.
I suppose that it is "possible" that some unsupported compliers work.