That's called "soft masking". Generally, these were found to be repeat regions with RepeatMasker (or some other tool). There are a couple options when it comes to masking genome. Aside from soft masking, one can "hard mask", meaning replacing a given region with a bunch of N's. This, of course, can produce pretty useless genomes for many use cases. Consequently, you'll often find people keeping soft-masked genomes around (I recall that UCSC provides both, with the regular genomes that you download already being soft masked).