First make sure you have centers enabled by talking to your Client Success Manager (CSM). Centers are not enabled by default and will require scoping from your CSM in order to turn this functionality on.

The go to Constituent360 > Centers.
Then choose to create a new center.
Give the Center an Administrative name and a Public Name and a Security Category.
Click Finish and you have created a security category.

Also, be aware that you will NOT see the links for "View All Centers" or "Switch Center" until a Center has been created following the steps above.