In case you weren't aware, Rust Cohle's thoughts and ideas are heavily influenced by Buddhist philosophies

Most of his thoughts and ideas about life and death are in parallel with Buddhist beliefs.

This was most apparent in his final monologue at the end of episode 3 with regards to the dead bodies' eyes. He talks about the final moment of letting go. Buddhism says that this can happen in the final moments of death. We finally realise our absolute lack of control and any attempts are futile and always have been. We see clearly that any perceived control was an illusion, a mind-created entity, which only severed to propagate the false idea of a self or ego. In this realisation there is ultimate freedom, because understanding that there is no self, matter of factly implies that there is no one to suffer. Things are exactly what they are, neither good nor bad, seen before the veil of judgement, conditioning and memory. This is what some would call enlightenment and it is what Buddhists hope to achieve within this lifetime before that moment of death.

There have been many other examples in previous episodes too, but I don't recall exactly what was said.