Cenx's set is a vanity developer item set that can be obtained rarely (5% chance) from Treasure Bags in Expert mode. It is one of two vanity sets made for Cenx, the Creative Director on Terraria. Equipping the full set produces pink glowing particles when the player is near a light source.
Cenx's equipment also includes a non-vanity item, which will drop in addition to her clothing set:
Cenx's Dress clothes, another vanity set created for Cenx, has the same chance of being dropped by Treasure Bags. One bag will never contain all of Cenx's items, due to there being two sets. They will always, however, contain Cenx's Wings.