This is the result of installing manual pages or installing the command to read them: man. The 'whatis' database contains a list of keywords to search the manual pages with. To make this database, the makewhatis command searches through all your manual pages. Usually this only happens after you installed or after you've added some new manual pages.
The command searches in various places and some of the places obviously don't contain any pages. Nothing is wrong, you'll just get this message once.