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The answer to this problem is quite simple (ok, it took me two days until I read the complete article http://wiki.ros.org/ROSberryPi/Installing%20ROS%20Indigo%20on%20Raspberry%20Pi and found the correct hint):

Just befor section "2.3 Building the catkin Workspace" is a box with the following note:

Note: Rosdep may report that python-rosdep, python-catkin-pkg, python-rospkg, and python-rosdistro failed to install; however, you can ignore this error because they have already been installed with pip.