Moshu’s right, technically, but there is something you can do.
I assume this is for a particular page? If so, make a custom page template. Put the wp_list_cats (or wp_list_categories depending on your version of WP) inside the template for that page.
Hmm. You know, it would be easier for you and me both if I just did it and sent it rather than write out all the steps.
Please download https://designorati.com/_temp/page-categories.txt
Once you download it, rename the file extension from .txt to .php and open the file in your HTML editor. It’s a real barebones template (made from the Default WP page.php template). Inside the page-categories.php you’ll see a comment where I inserted the hard coded content–the category list–right after the dynamic content–whatever you enter into the content field on the Write > Page screen. Make any changes needed in order to make the template match your site.
Really, all you have to do copy everything from your current page.php template. Just ensure that the hard coded page content remains as does the PHP comment at the top. The latter is necessary to tell WP that it’s a template.
Upload page-categories.php to your template directory.
In WP, edit the page you want to use for the category list in the editor. You’ll see a box labeled “Page Template” and a dropdown menu. Inside the dropdown menu you should now have an entry for “Page with Categories,” the new template. Choose that template and save the page. That will put the category list onto that page for your blog.
If you only want the category list and nothing else on the page, leave the content field empty on the Edit > Page screen.
Let me know if any of this isn’t clear.