A Cost Center is used for two purposes. The first is for providing a method to invoice for non-Medicaid clients, or clients that are funded by sources other than Medicaid funding. A good example of a Cost Center is "County Board".
Another purpose for Cost Centers is to organize the financials into pots of money. Financial reports based on Cost Centers can provide a means to evaluate the business revenue in different ways beyond Programs and Services.
Here is a tutorial on how to setup a Cost Center: