Retiring the campaign closes it, not allowing any further donations to be made.
Once you have raised any amount of money on your campaign, the option to "Retire" your campaign will appear at the very bottom of the "Detail" tab of your Campaign Dashboard. By clicking this, you will remove the ability for any more donations to be made to this particular campaign, which can be handy in case you want to give a definite "end" to your event.
Please note that donations made throughout your entire campaign are immediately sent to the charity. The charity is not waiting for you to "retire" your campaign in order to receive the money. This option is just to make sure that donations can no longer be made to your campaign.