#define has many different applications, but your question seems to be about one specific application: defining named constants.
In C++ there’s rarely a reason to use #define to define named constants.
#define is normally widely used in C code, since C language is significantly different from C++ when it comes to defining constants. In short, const int objects are not constants in C, which means that in C the primary way to define a true constant is to use #define. (Also, for int constants one can use enums).