Assume $\alpha > 0$ is a limit ordinal, and cf $\alpha=$ the least ordinal $\beta$ such that there is an increasing $\beta$-sequence $\langle \alpha_\xi \, \colon\, \, \xi < \beta\rangle$ that is cofinal in $\alpha,$ i.e., with lim$_{\xi \to\beta}\, \alpha_\xi = \alpha.$
The proof goes like this: If $\langle \alpha_\xi \,\colon\, \, \xi < \beta\rangle$ is cofinal in $\alpha$ and $\langle \xi(\nu) \, \colon\, \, \nu < \gamma\rangle$ is cofinal in $\beta,$ then $\langle \alpha_{\xi(\nu)} \colon\, \, \nu < \gamma\rangle$ is cofinal in $\alpha.$
If we're supposing that cf $\alpha = \beta,$ then cf $\beta = \gamma \not= \beta$. I don't really think I understand anything that's going on at all, and any help will be appreciated.
It should be clear that $\operatorname{cf}(\alpha)\leq \alpha$ for all $\alpha$, so specifically $\operatorname{cf}(\operatorname{cf}(\alpha))\leq \operatorname{cf}(\alpha)$.
Let's assume $\gamma = \operatorname{cf}(\operatorname{cf}(\alpha)) < \operatorname{cf}(\alpha) = \beta$. Then what you have above shows that you can construct a cofinal sequence of length $\gamma$ in $\alpha$, i.e. $\operatorname{cf}(\alpha)\leq\gamma$ which contradicts our assumption.