Limits
The limit is dependent on both the server and the client used (and if applicable, also the proxy the server or the client is using).
On servers, the industry practice by most CDNs is to have the limit at 8192 bytes.
On browsers, it varies and we can see this be searching for max cookie size. But referencing http://browsercookielimits.squawky.net/ developers should not go beyond 4097 per domain.
Cookies are also involved here as they are transmitted within request header.
The HTTP 1.1 specs section 3.2.1 provide warning on this topic,
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