That's an air intake/exhaust funnel. Usually it would stick real close/or completely attached to openings/grills/air instake mesh on the side panel of your computer chassis.

Taking my notes from above into consideration:

1. If the CPU fan installed as an intake fan, the funnel will help direct the intake of fresh air from the outside of the chassis -- blows fresh/lower temp air to the CPU heatsink.

2. Alternatively, if the CPU fan is installed as an exhaust fan, the funnel will help direct the exhaust of hot air from the heat sink (dissipated heat) quickly out of the chassis.
This way, heat travels from CPU --> Heat sink fins --> funnel --> OUT OF CHASSIS

That funnel can be both useful/essential and hazardous. It much depends on how internal fans are configured. Just remember that hot air goes up and vice versa for cold air.

A basic configuration for a good airflow would be one intake fan located at the lower-font part of the chassis and an exhaust fan at the upper-back part of the chassis. The rest of fans installed would need to follow the airflow you're created. It's much like a curve (if viewed from the frequently accessed side panel) -- Cold air from lower-front curving nicely to the upper-back part

Funnels directed to wrong places or to panels with no openings will certainly cause disturbance to the airflow (imagine air turbulence), causing ineffective exhaust of hot air (not efficient enough) which at the end will cause the temp inside the chassis to rise.

Sorry if this reply is a little lengthy. Hope it helps