While this phrase might seem inappropriate (considering cú means a-hole), it really isn’t when you consider the way it is used. The colloquial idiomatic Brazilian-Portuguese phrase actually means ‘to want something but to pretend you don’t’ and in this sense, the person offering will insist until it seems like you are the one doing the favor. Basically, the person feigns disinterest or indifference probably because they like playing little games with people in order to attract attention or perhaps they think the more that the person offering insists, the more they care. Among interested parties (one who wants to date the other), it can be considered ‘playing hard to get’ (fazer de difícil).
Ex. Aquela menina me deu bola, mas na hora que eu a convidei pra sair, fez cu doce.
Ex. That girl was into me, but when I invited her out, she pretended like she wasn’t interested.
Other ways to say the same thing in Portuguese would be fazer doce, fazer charme or fazer frescura. Btw, if you want to read a joke that uses the phrase, see the second explanation on Informal Dictionary.