If you want just to move data between the two you can use a thunderbolt 2 cable and set the one Mac that you want to send the data to in target mode, so will act as an external hard drive.
If you want to keep full functionality for both machines, you can use an Ethernet cable in order to make a small private network between the two Macs:
On your Mac, use an Ethernet cable to connect two computers and share files or play network games.
support.apple.com
Hope that helps.