A thematic cocoon is a group of keywords link to a specific thematic (lexical field). A good page content may contains several thematic cocoons.
Thematic cocoons give you high quality keywords ideas, groups by thematic. Those are thematics used by ranked websites to produce content. In other words, we can deduce that this thematics are associated with the main keyword you are trying to rank on.
Thematic cocoons should give you paragraphs ideas to create in order to enrich your content.
Of course, it's not necessary to include each thematic cocoon in your content. Only the most relevent cocoons for your business should by used.