They are made of metals that are resistant to corrosion, how much gold is in them depends on the manufacturer.
The pins that connect into the socket to attach the processor are typically made from nickel/gold alloy – this material is used for its resistance to corrosion, not because it has any inherent ability to provide connectivity between a processor and a motherboard.
Pins can be made of gold but have no need for being so as far as supplying power or data connectivity is concerned. Gold might become more popular if there’s an issue with other metals being completely consumed though! If you’re worried about how much gold goes into your CPU, rest easy knowing you’re consuming less than 5 cents worth annually per year*.