csv.write_row() takes a complete row of columns - if you need more, add them to your cdata=[i]- f.e. cdata=[i,i*2,i*3,i*4].
You should use with open() as f: for file manipulation, it is more resilient against errors and autocloses the file when leaving the with-block.
Fixed:
import csv
# do not use i here and down below, thats confusing, better names are a plus
for fileCount in range(10):
    filename = "filename{}.csv".format(fileCount) # creates filename0.csv ... filename9.csv 
    with open(filename,"w") as f:#  # create file new
        csv_writer = csv.writer(f)
        # write headers
        csv_writer.writerow(["data1","data2","data3"])
        # write 4 rows of data
        for i in range(1,5):
            cdata=[(fileCount*100000+i*1000+k) for k in range(3)] # create 3 datapoints
            # write one row of data [1000,1001,1002] up to [9004000,9004001,9004002] 
            # for last i and fileCount
            csv_writer.writerow(cdata)
# no file.close- leaving wiht open() scope autocloses
Check what we have written:
import os
for d in sorted(os.listdir("./")):
    if d.endswith("csv"): 
        print(d,":") 
        print("*"*(len(d)+2)) 
        with open(d,"r") as f: 
            print(f.read()) 
        print("")
Output:
filename0.csv :
***************
data1,data2,data3
1000,1001,1002
2000,2001,2002
3000,3001,3002
4000,4001,4002
filename1.csv :
***************
data1,data2,data3
101000,101001,101002
102000,102001,102002
103000,103001,103002
104000,104001,104002
filename2.csv :
***************
data1,data2,data3
201000,201001,201002
[...snip the rest - you get the idea ...]     
filename9.csv :
***************
data1,data2,data3
901000,901001,901002
902000,902001,902002
903000,903001,903002
904000,904001,904002
To add a new column to an existing file:
- open old file to read
- open new file to write 
- read the old files header, add new column header and write it in new file
- read all rows, add new columns value to each row and write it in new file
Example:
Adding the sum of column values to the file and writing as new file:
filename = "filename0.csv"
newfile =  "filename0new.csv"
# open one file to read, open other (new one) to write
with open(filename,"r") as r, open(newfile,"w") as w:
    reader = csv.reader(r)
    writer = csv.writer(w)
    newHeader = next(reader)   # read the header
    newHeader.append("Sum")    # append new column-header
    writer.writerow(newHeader) # write header
    # for each row: 
    for row in reader:
        row.append(sum(map(int,row)))   # read it, sum the converted int values
        writer.writerow(row)            # write it
# output the newly created file:
with open(newfile,"r") as n:
    print(n.read())
Output:  
data1,data2,data3,Sum
1000,1001,1002,3003
2000,2001,2002,6003
3000,3001,3002,9003
4000,4001,4002,12003