Delayed optical feedback semiconductor lasers are the most widely used chaotic light sources in recent years. However, its unpredictability evaluation is still an urgent issue to be addressed. From the information-theoretic point of view, the Kolmogorov-Sinai (KS) entropy calculated from the linearized differential equation can accurately evaluate the unpredictability of chaotic laser signals. However, evaluating the KS entropy of experimental data is very difficult, if not impossible. In this paper, we demonstrate that the Cohen-Procaccia (CP) entropy can be used as a practical alternative method for quantifying the unpredictability of chaotic signals generated from delayed optical feedback semiconductor lasers experiments after optimizing the embedding dimension d, the normalized vertical resolution ε_N, and the sampling time τ.