I'm running CiviCRM under Wordpress.
I want to create a donor area, where they can change their information. But I can't find way to let them change their password.
Why is not possible to add a "password" field in profiles?
CiviCRM does not maintain logins or credentials. It instead opts to let the CMS (WordPress in your case) to manage it all. CiviCRM can maintain the link between a user account on the CMS with a contact in CiviCRM though.
As Andrew West points out, you need to manage the password via WordPress.