Why does Codeigniter do this? I mean isn\'t it very insecure if users can see which data is stored in their session? And and what if they change a value in the cookie?
Well, Codeigniter's out of the box interpretation of sessions is different to that of PHP sessions. You can still use PHP sessions if you want via the $_SESSION super global, but Codeigniter basically treats sessions as more convenient cookies. Although, you can make your sessions store in a database which is what I do and will prevent a user from changing session values.
If you want semi-secure session variables, use the in-built PHP ones if you don't want the hassle of making Codeigniter store session values in a database encrypted.
Everything is explained in the detailed documentation: http://codeigniter.com/user_guide/libraries/sessions.html