Mailchimp authenticates your domain with two CNAME records that you add in Cloudflare.
The records. Add one CNAME with the name k2._domainkey and the target dkim2.mcsv.net, and a second CNAME with the name k3._domainkey and the target dkim3.mcsv.net. Set both records to DNS only (grey cloud, not proxied) with TTL on Auto. Your existing SPF and DMARC records do not need to change. Mailchimp verifies on these DKIM records alone.
Adding the records. If you have admin access to the Cloudflare account for your domain, add the two records yourself under DNS > Records. If you do not have access, send the two records to the help desk and the help desk adds them for you. If you would like your own Cloudflare login, request an invite and accept it promptly, as invites expire within a few weeks.
Finishing in Mailchimp. Once the records are in place, return to Mailchimp and click Authenticate Domain. Verification normally completes within a few minutes.