Automatic caf files showing up
MacBook Air, OS X El Capitan (10.11.6)
CAF (Core Audio Format) files are container files that store audio files. CAF files were developed by Apple quite a long time ago.
https://en.wikipedia.org/wiki/Core_Audio_Format
The above article also contains references explaining how to convert CAF to MP3 files.
WARNING -
I just checked my own Mac and saw I have 3,879 .caf files also. But they are all located under the Library folder.
Never explicitly delete or change any files under the Library folder unless you know exactly what you are doing and why you are doing it. Generally speaking, you should assume Apple keeps their stuff there that is not meant to be touched by end users and keep your hands off.
Automatic caf files showing up