Update: We now also provide CentOS RPMs: https://www.monetdb.org/downloads/epel/
Since we do not provide packages for CentOS, I believe compiling from source is the easiest option. I tried this on a CentOS 6.5 VM, the steps follow below. Simply download a tarball release (e.g. https://www.monetdb.org/downloads/sources/Oct2014-SP2/MonetDB-11.19.9.tar.xz) and then
sudo yum install gcc bison openssl-devel pcre-devel libxml2-devel
tar xvf MonetDB-*.tar.*
cd MonetDB-*
./configure
make -j
sudo make install
That should do it, you should be able to continue with http://www.monetdb.org/Documentation/UserGuide/Tutorial from there. One final note, in the ./configure step, watch out for the line "sql is enabled" towards the end, if it is not there, it will tell you which dependency is missing. Usually, they can be installed using yum (libxy-devel packages).