It means "don't echo this command on the output." So this rule is saying "execute the shell command
: and don't echo the output.
Of course the shell command
: is a no-op, so this is saying "do nothing, and don't tell."
The trick here is that you've got an obscure combination of two different syntaxes. The make(1) syntax is the use of an action starting with @, which is simply not to echo the command. So a rule like
always: @echo this always happens
echo this always happens this always happens
Now, the action part of a rule can be any shell command, including
:. Bash help explains this as well as anywhere:
$ help : :: : Null command. No effect; the command does nothing. Exit Status: Always succeeds.