Makefiles can actually be quite dynamic, so a program merely trying to figure out the list of target has to execute code. For example put this in a Makefile and do `make <TAB>`, the file will be created (no need to press enter):
FWIW, while both bash and fish completion execute "make -n" for tab completion that isn't the case for zsh. zsh uses an internal parser for makefiles¹, and as such won't execute the shell function or recipes that use the + prefix.