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There are two main concerns with this type of shipping. The first has to do with the regulations that the shipping company that you decide to use has laid down. They will only ship containers that are full of liquid that are under a certain size. The vast majority of the time, a bottle of cologne will be well under the maximum size. However, it is still good to check so that you know what you are allowed to do. Checking first can save you quite a lot of trouble later. Furthermore, you need to make sure that the gift set itself does not push the total amount of liquid over the limit since there will be multiple bottles of cologne. This can be different than shipping just a single bottle.
The other concern is that the glass bottle will break while it is being transported. If you do not pack it well enough, there is a chance that this can happen. Generally speaking, though, this should not keep you from shipping it at all. You just need to send it in a box and not in an envelope. Inside of the box, put as much tissue paper or newspaper as you can fit. Remember that it will condense a lot during the course of the trip. You need to put in more than you think you will need if you want to be sure that it will not break.
It can also be a good idea to wrap the bottle itself in bubble wrap. You can then tape this so that it does not come off. Even if the bottle moves a little bit within the newspaper, it will not break with this cushioning all around it. This second layer of protection can help tremendously. While you have the tape out, be sure to tape the box together firmly. It is a good idea to run the pieces of tape on one side all the way around so that they overlap with the pieces from the other side. Tape sticks to itself much better than it sticks to a cardboard box.
As you can see, it is typically possible to ship this type of a gift. You just need to remember that it is a lot different than shipping a metal tin or a hardcover book. You need to take better care of the product. You need to assume that it will be abused during the trip. You can then take all of the steps that are within your power to make sure that it will not break under the strain of this abuse.