This happens if you add a new book (or two or three, free or not) from Amazon as well as any books you find elsewhere (like manybooks.net) and add to your Kindle via your usb connection on your computer. What is happening is your Kindle working hard to index those books as fast as it can so when you need to search for something, it will be nice and quick.
To see if indexing has completed, do a search for anything and you will see a list including the number of items not yet indexed.
