the official answer, from a reliable source
Cocoa butter is a fat extracted from the cacao (cocoa) bean, the same bean that is used to make chocolate. Pure cocoa butter should have a faint chocolaty smell, but when it's used in creams and soaps, the chocolate aroma is often removed, and other natural and artificial fragrances may be added.
Cocoa butter and coconut oil are frequent travelling companions in cosmetic products, which may explain the coconutty smell of cocoa butter.
References: WiseGeek, Palmer's, Garden State Naturals, Flora Botanicals