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I tried doing, mathbfRightarrow, but nothing happens.

How do I make the Rightarrow symbol bold?

Here is a way with which you can make any symbol fat: use the contour package.

documentclassarticle
usepackageamsmath
usepackage[outline]contour
begindocument
beginenumerate
item Just the symbol:
contourblack$Rightarrow$

item The symbol between two bold symbols:
$boldsymbolAmathrelcontourblack$Rightarrow$boldsymbolB$

item Using textttcontour for everything:
contourblack$ARightarrow B$

item verb|contourlength0.02em|:
bgroupcontourlength0.02emcontourblack$ARightarrow B$egroup

item verb|contourlength0.01em|:
bgroupcontourlength0.01emcontourblack$ARightarrow B$egroup

item Other symbols:
contourblack$ALeftarrow B=Cne D$
endenumerate
enddocument

If you would recreate the arrow in tikz, you could control how bold you like it by changing the line width to whatever value you like

documentclass[border=6.662mm]standalone

usepackagetikz

newcommandmyarrow[1][0.1pt]tikz[baseline=-0.26em,y=3em, x=3em]filldraw[line width=#1] (0.4202,0.0021) .. controls (0.4202,-0.0000) and (0.4188,-0.0018) .. (0.4171,-0.0025) .. controls (0.3917,-0.0092) and (0.3699,-0.0236) .. (0.3509,-0.0401) .. controls (0.3355,-0.0538) and (0.3225,-0.0704) .. (0.3130,-0.0890) .. controls (0.3119,-0.0915) and (0.3094,-0.0929) .. (0.3066,-0.0929) .. controls (0.3028,-0.0929) and (0.2996,-0.0897) .. (0.2996,-0.0858) .. controls (0.2996,-0.0848) and (0.3000,-0.0837) .. (0.3003,-0.0827) .. controls (0.3087,-0.0665) and (0.3193,-0.0517) .. (0.3316,-0.0391) -- (0.1181,-0.0391) .. controls (0.1143,-0.0391) and (0.1111,-0.0359) .. (0.1111,-0.0320) .. controls (0.1111,-0.0282) and (0.1143,-0.0250) .. (0.1181,-0.0250) -- (0.3471,-0.0250) .. controls (0.3611,-0.0137) and (0.3766,-0.0046) .. (0.3935,0.0021) .. controls (0.3766,0.0088) and (0.3611,0.0179) .. (0.3471,0.0292) -- (0.1181,0.0292) .. controls (0.1143,0.0292) and (0.1111,0.0323) .. (0.1111,0.0362) .. controls (0.1111,0.0401) and (0.1143,0.0432) .. (0.1181,0.0432) -- (0.3316,0.0432) .. controls (0.3193,0.0559) and (0.3087,0.0707) .. (0.3003,0.0868) .. controls (0.3000,0.0879) and (0.2996,0.0889) .. (0.2996,0.0900) .. controls (0.2996,0.0939) and (0.3028,0.0970) .. (0.3066,0.0970) .. controls (0.3094,0.0970) and (0.3119,0.0956) .. (0.3130,0.0932) .. controls (0.3225,0.0745) and (0.3355,0.0580) .. (0.3509,0.0443) .. controls (0.3699,0.0278) and (0.3917,0.0133) .. (0.4171,0.0067) .. controls (0.4188,0.0059) and (0.4202,0.0042) .. (0.4202,0.0021) -- cycle;

begindocument

$Rightarrow$ 
myarrow 
myarrow[0.25pt] 
myarrow[0.5pt] 
myarrow[0.75pt]

enddocument

In the modern toolchain, with unicode-math and running either LuaLaTeX or XeLaTeX, you can choose whatever font for bold math you want:

documentclass[varwidth, preview]standalone
usepackageamsmath
usepackageunicode-math

defaultfontfeatures Scale = MatchUppercase 
setmathfontLatin Modern Math
setmathfont[version = bold]XITS Math Bold

begindocument
(
 p boldsymbolRightarrow q Rightarrow r
)
enddocument

If you want all instances of Rightarrow to be bold, you could select that one glyph from a font with a heavier weight:

setmathfontLatin Modern Math
setmathfont[range = Rightarrow]XITS Math Bold

In the legacy toolchain, you can load the bm package to get a better boldsymbol, or (with some extra effort) you can import a glyph from your font of choice with DeclareMathSymbol.