This paper is motivated by the need of assessing cognitive effort in affective robotics. In this context, the ultimate goal is that of assessing the mental state while the subject is interacting with a robotic system, by gathering implicit and objective information unobtrusively. To this end, we focus on wearable devices that do not affect the interaction of a human with a robot. In particular, we consider some commercial multi-purpose wearable devices, such as an armband, a smartwatch and a chest strap, and compare them in terms of accuracy in detecting cognitive effort. In an experiment setting, thirty participants were exposed to an increase in their cognitive effort by means of standard cognitive tests. Mental fatigue was estimated by measuring cardiac activity, in terms of heart rate and heart rate variability. The results have shown that the analysis of heart rate variability measured by the chest strap provides the most accurate detection of cognitive effort. Nevertheless, also measurements by the armband are sensitive to cognitive effort.