We report on an investigation of optical properties of multiferroic CoCr\(_{2}\)O\(_{4}\) at terahertz frequencies in magnetic fields up to 30 T. Below the ferrimagnetic transition (94 K), the terahertz response of CoCr\(_{2}\)O\(_{4}\) is dominated by a magnon mode, which shows a steep magnetic-field dependence. We ascribe this mode to an exchange resonance between two magnetic sublattices with different \(g\)-factors. In the framework of a simple two-sublattice model (the sublattices are formed by Co\(^{2+}\) and Cr\(^{3+}\) ions), we find the inter-sublattice coupling constant, \(\lambda = - (18 \pm 1)\) K, and trace the magnetization for each sublattice as a function of field. We show that the Curie temperature of the Cr\(^{3+}\) sublattice, \(\Theta_{2}\) = \((49 \pm 2)\) K, coincides with the temperature range, where anomalies of the dielectric and magnetic properties of CoCr\(_{2}\)O\(_{4}\) have been reported in literature.