The author of a popular natural health newsletter is selling coconut oil based on this claim. He is correct that frying with various oils causes carcinogens to form, but nobody has shown that coconut oil doesn't also form these same carcinogens.
Fats are classified by how many double bonds they have in their structures. Double bonds are the weak links in a molecule that break down with heating to form all sorts of harmful chemicals that increase cancer risk. Monounsaturated fats have only one double bond in each fatty acid. Polyunsaturated fats have more than one double bond. Since saturated fats have no double bonds, and all the others have double bonds, saturated fats are more stable and less like to break down to form heterocyclic amines. Plant sources that are high in saturated fats include coconut, palm and palm kernel oils. Animal-source frying oils such as clarified butter are also high in saturated fats.
However, they all break down with burning and high-temperature frying. You should not burn any fats. If you enjoy deep-fried foods, keep them as occasional treats; don't believe that using any particular type of oil will make them healthful. More on fried foods