gnu make "Removing intermediate files"

Since you're using GNU Make, you can make the following adjustment to your Makefile:

.PRECIOUS: $(BUILD)/%.pp  # ADD THIS LINE
$(BUILD)/%.pp: %.c
    $(ECHO) "PreProcess $<"
    $(Q)$(CC) $(CFLAGS) -E -Wp,-C,-dD,-dI -o $@ $<

The documentation has this to say about .PRECIOUS directives:

The targets which .PRECIOUS depends on are given the following special treatment: if make is killed or interrupted during the execution of their recipes, the target is not deleted.

[...]

Also, if the target is an intermediate file, it will not be deleted after it is no longer needed, as is normally done.

[...]

You can also list the target pattern of an implicit rule (such as ‘%.o’) as a prerequisite file of the special target .PRECIOUS to preserve intermediate files created by rules whose target patterns match that file's name.

This has the benefit of not creating an unwanted additional rule. It's also clearer what you're trying to do: keep the precious intermediate files that might be expensive to recreate.

If you search for "gnu make intermediate files" you'll immediately find the answer as to why it's happening, in the GNU make manual section Chains of Implicit Rules.

It also tells you how to avoid it: a file cannot be intermediate if it is mentioned in the makefile as a target or prerequisite.

So, just list your .pp files as a prerequisite of some rule, somewhere. It doesn't have to be a rule that's ever invoked. You don't give enough of your makefile here for us to provide a complete answer, but it would be something like:

all_pps: $(ALL_OBJECTS:.o=.pp)

assuming you had a variable ALL_OBJECTS containing all your .o files.