I have come across the notion of a cofinal under inclusion collection of finite subsets of $\mathbb{N}$. I think I am not understandinf what cofinal means, because I don't see how much an object can exist, or what it contains.
From Wikipedia article on cofinality, for $A$ and a set with binary relation $\leq$, we say $\subset A$ is cofinal in $A$ if for every $a\in A, \exists b\in B $ such that $a\leq b$.
Now when one considers the collection of finite subsets of $\mathbb{N}$, then what would be the 'cofinal under inclusion' set of this. Clearly, any finite subset is contained in a larger one. So we would have to include the larger one in our cofinal set, and could ditch the smaller one. But then if we keep going like this, we are pushing back to subsets of $\mathbb{N}$ of infinite cardinality, which are not in the set of finite subsets at all.
Basically, there's a type confusion here.
You're right that no individual finite set is cofinal in this sense, but what's being looked at is infinite collections of finite sets. Those totally can be cofinal - e.g. consider the infinite collection of finite sets $\mathfrak{I}=\{\{0,1,2,...,n\}: n\in\mathbb{N}\}$. Clearly every finite set of natural numbers is contained in some element of $\mathfrak{I}$. Also clearly no individual member of $\mathfrak{I}$ (or rather, no $\{X\}$ for $X\in\mathfrak{I}$) is cofinal.
They can also fail to be cofinal. E.g. $\mathfrak{K}=\{\{1,2,3,4,...,n\}:n\in\mathbb{N}\}$ is not cofinal since $\{0\}$ is not a subset of any element of $\mathfrak{K}$. Preempting another possible type confusion, note that $$\mathfrak{M}=\{\{0\},\{1\},\{2\},\{3\}, ...\}$$ is not cofinal either: although every finite set is a subset of the union of some elements of $\mathfrak{M}$, the set $\{1,2\}$ (for example) is not a subset of any single element of $\mathfrak{M}$.