"What they told me is not true."
Translation:Ciò che loro mi hanno detto non è vero.
Che cosa is used as a question, but you already know that italians are used to say "cosa" instead. "Cio che" seems to be a way to emphasize about something you are talking of, or an information you are receiving. (Excuse me for some grammatical errors, english is not my mother languaje). In spanish (my mother languaje) "cio che" is similar to "lo que", for example, "lo que digo es cierto", in italian "cio che dico è vero".
'What they told me' is actually a more modern form of 'of that which they told me'. Due to the shorter length, the former is used, much like many loan words in Italian (blu v. azzurro, weekend v. fine di settimana, etc) and English.
Italian and English emphasize different parts. Whereas this concept is shorter in English, remember that in common Italian, pronouns are optional and normally reserved for stress.