For now, there is no such way to do a --exclude while doing a docker cp. If you have a Dockerfile, you can achieve this by using .dockerignore.
Below is what i can suggest now as a quick hack/workaround -
rsync -avzh ./ /tmp/to_be_copied --exclude my_data
docker cp /tmp/to_be_copied 0132381bc8d6:/my_dir
rm -rf /tmp/to_be_copied
You need to just copy your folder structure to a different location by using rsync with the directory my_data excluded.Post this and you will be able to easily use docker cp with the newly created directory, and also do not forget to cleanup at the end so that it do not cause any issue.