use the environment center instead of figure. Of course you have to use \captionof{figure}{<text>} or with the package caption \captionsetup{type=figure}.
multicols uses saveboxes to split the contents. In this case you can't use any floating material.
Example with center, captionof and captionsetup:
FYI: captionof requires the package caption or capt-of or a documentclass of the KOMA Bundle; captionsetup requires the package caption.
\documentclass[english,demo]{scrreprt}
\usepackage{babel}
\usepackage{blindtext}
\usepackage{multicol}
\usepackage{graphicx}
\usepackage{caption}
\begin{document}
\blindtext
\begin{multicols}{2}
\blindtext
\begin{center}
\includegraphics[height=60mm]{CC.jpg}
\captionof{figure}{AA \cite{BB}}
\end{center}
\blindtext[2]
\end{multicols}
\blindtext
\clearpage
\blindtext
\begin{multicols}{2}
\blindtext
\begin{center}
\captionsetup{type=figure}
\includegraphics[height=60mm]{CC.jpg}
\caption{AA \cite{BB}}
\end{center}
\blindtext[2]
\end{multicols}
\blindtext
\begin{thebibliography}{99}
\bibitem{BB} Name, Title
\end{thebibliography}
\end{document}
\captionofmacro is called capt-of. – lockstep May 15 '11 at 08:58