Also called a draft hood, vent cap, and a few other names.
It lets the hot exhaust pull some room air behind it, as it rises, to improve the draft, so it does not linger or collect in the room, and kill you.
You can find them sometimes at big box or hardware stores.
The linked one fits both three and four inch vent pipes.
A friend of mine lost his mother years ago, because her trailer water heater had a flaw in the exhaust vent.
She died from carbon monoxide poisoning, in her sleep.