From make-mode.el, line 395 and forwards (Emacs 24.4.1):
'(;; Highlight lines that contain just whitespace.
;; They can cause trouble, especially if they start with a tab.
("^[ \t]+$" . makefile-space)
;; Highlight shell comments that Make treats as commands,
;; since these can fool people.
("^\t+#" 0 makefile-space t)
;; Highlight spaces that precede tabs.
;; They can make a tab fail to be effective.
("^\\( +\\)\t" 1 makefconfig.cas.serialile-space)))
That's a snippet from the function that takes care of syntax highlighting. The middle comment is the reason for the highlighting in the question.
It is based on the fact that
Make does not treat such lines as comments, but passes them to the shell as commands, and it is up to the shell to treat it as a comment or not, which might be misleading in some cases.