When you need to insert more than one value into a collection, you have to call push() or set() multiple times. Instead of storing the new collection every time that you call the method, you can chain the method calls together. You can store the result of this chained call, which is the last collection. The other collections are called intermediary collections, which are freed the next time the garbage collector runs.
Immutable.js can copy collections efficiently because it only copies the parts of the collection that it absolutely needs to copy. When you make persistent changes, most of the old collection data is shared with the new collection. It can do this because most of the collection data hasn't changed, so it would be wasteful just to throw it to the garbage collector.