CFML simply means ColdFusion Markup Language, and it is a coding language that is used in writing scripts for ColdFusion. Conversely, ColdFusion happens to be the actual framework or platform where you can execute the CFML scripts. The relationship between CFML and ColdFusion is just like that of HTML code being run in a browser.
Hence, you run ColdFusion Markup Language code in ColdFusion. ColdFusion takes the responsibility of decoding each line of code in such a way that a browser can interpret it. These two entities are not exclusive to each other. ColdFusion can also interpret some other languages which are usually used for similar purposes, such as some JavaScript languages and ActionScript.
Also, CFML can be interpreted by several other platforms such as IgniteFusion, Railo, and BlueDragon. Despite these differences, many people still use these terms interchangeably, which does not really show professionalism if you are dealing with the ColdFusion package.