Metadata versus data in change sets
Key Takeaway
A change set carries metadata and never carries data such as records. Custom metadata records look like data, but they are metadata, so you can add them to a change set.
A change set moves customizations from one Salesforce org to a related org. For example, you can build and test a new Custom Object in a sandbox, then send it to production. What you can move depends on whether something is metadata or data.
What a change set can contain
A change set carries metadata and never carries data, such as records. It can contain only changes you can make through the Setup menu.
For example, imagine you want to move a new Custom Object, its Custom Fields and a list of Contact records. A change set can deploy the Custom Object and its Custom Fields, but it cannot upload the list of Contact records. If those records need to exist in the receiving org, the change set will not bring them.