SSDT project with working linked server references gets SQL71562 warning
According to the message shown in the Question, this is actually a warning ("warnung") and not an error. An error will stop the build process and prevent the project from being published to the server. Warnings merely show up in the "Error List" window, but don't prevent the build or publish processes from completing.

I created a Database project in Visual Studio 2013 and added a stored procedure that selected from a Linked Server. If the Linked Server name did not match a valid Linked Server on SQL Server, then there was a publication error as reported by SQL Server (not Visual Studio). Otherwise, everything worked as expected. But in both cases, my Linked Server reference in that Stored Procedure in Visual Studio was underlined in blue AND the following message appeared in the "Error List" window after the build finished:

Warning 2   SQL71562: Procedure: [dbo].[GetExpressDBs] has an unresolved reference to
            object [LStoSqlExpress2014].[master].[sys].[databases].


If you don't want to see these warnings, there are two things you can do:


You can simply not show them in the "Error List" window by clicking the button at the top of the "Error List" window that says "X of Y Warning(s)". If you do this, you won't see ANY warnings here (even non-Linked Server-related warnings), but your code will still show the blue underlines that will display the warning if you hover over them.
You can tell Visual Studio / SSDT to ignore just these specific warnings (but still show the others) by doing the following:


Go to Project Properties
Go to the "Build" tab
Enter the following into the "Suppress Transact-SQL warnings:" text field:
71562


Doing the steps noted above will prevent just this one specific warning from showing up in the "Error List" window as well as the blue underlines in the code using the Linked Servers.