This has been reported to Splunk previously. The vulnerability associated with this finding is CVE-2008-0252.
Splunk has tried to reproduce and found that directory traversal with "//" and "/./" is not possible with any CherryPy web server that ships with Splunk. As per the Mitre vulnerability:
Directory traversal vulnerability in the _get_file_path function in
(1) lib/sessions.py in CherryPy 3.0.x up to 3.0.2,
(2) filter/sessionfilter.py in CherryPy 2.1, and
(3) filter/sessionfilter.py in CherryPy 2.x allows remote attackers to create or delete arbitrary files, and possibly read and write portions of arbitrary files, via a crafted session id in a cookie.
In 5.0 and above, Splunk ships with CherryPy 3.1.2. If the version of Splunk you're running is close to current, this is almost certainly a false positive. You should proceed by reporting it as such to the vendor who reported the finding so they can tweak the vulnerability check.
As an aside, any vulnerabilities discovered can be reported to Splunk via the security portal at this link: