If you are referring to the yellow/violet lines on the left...
The layer highlight colors mean nothing technical at all. They are merely provided so you can visually separate the layers while you are working if you feel you need to.
You can set a group of layers to use Blue, then another group to use red, then another to use green -- this is only so you can look at the Layers Panel and see the colors, that's all.
Not a duplicate but this may help some as well: Script to remove Yellow(or any color) from layers panel?
To change the layer highlight color, just double-click the layer thumbnail in the panel and choose a new color.
If you are referring to the various shades of grey/blue...
The dark grey indicates top layers or sub-layers, not highlighted in the panel.
The lighter grey indicates objects, not highlighted in the panel.
The blueish grey indicates a highlighted layer in the panel.
Note that layer highlighting in the panel has nothing to do with actual objects on the artboard(s). It's only there so you can highlight them and perform operations on several layers, such as moving them in the layer stack or changing their object highlight color.