The reason is that cfspreadsheet
is based on POI which does not support html content.
As user1450455 mentions, you can format whole cells using any of the built in formatting functions such as SpreadsheetFormatCell.
sheet = spreadSheetNew();
spreadSheetFormatCell( sheet, {bold=true} , 1, 1 );
spreadSheetSetCellValue( sheet, "blablah", 1, 1 );
If you are looking to create cells with multiple formats (ie bold some characters but not others) that is only possible using the underlying POI library by creating a RichTextString. So it requires much lower level code.
<cfscript>
sheet = spreadSheetNew();
workbook = sheet.getWorkBook();
helper = workbook.getCreationHelper();
richText = helper.createRichTextString("ColdFusion");
// make first few characters bold ie "Cold"
firstFont = workbook.createFont();
firstFont.setBoldweight( firstFont.BOLDWEIGHT_BOLD );
richText.applyFont( 0, 4, firstFont );
// make next characters red ie "Fusion"
secondFont = workbook.createFont();
secondFont.setColor( secondFont.COLOR_RED );
richText.applyFont( 4, 10, secondFont );
// create cell via CF and apply formats
// note, in POI indexes are base 0
spreadSheetSetCellValue( sheet, "", 2, 1);
cellA2 = workbook.getSheetAt(0).getRow(1).getCell(0);
cellA2.setCellValue( richText );
</cfscript>