There are a couple of issues here. First, as pointed out in the other answer, your mark and sieve functions don't have terminating conditions. It looks like they are designed to work with infinite sequences, but if you passed a finite-length sequence they'd keep going off the end.
The deeper problem here is that it looks like you're trying to have a function create a lazy infinite sequence by recursively calling itself. However, cons is not lazy in any way; it is a pure function call, so the recursive calls to mark and sieve are invoked immediately. Wrapping the outer-most call to sieve in lazy-seq only serves to defer the initial call; it does not make the entire sequence lazy. Instead, each call to cons must be wrapped in its own lazy sequence.
For instance:
(defn eager-iterate [f x]
(cons x (eager-iterate f (f x))))
(take 3 (eager-iterate inc 0)) ; => StackOverflowError
(take 3 (lazy-seq (eager-iterate inc 0))) ; => Still a StackOverflowError
Compare this with the actual source code of iterate:
(defn iterate
"Returns a lazy sequence of x, (f x), (f (f x)) etc. f must be free of side-effects"
{:added "1.0"
:static true}
[f x] (cons x (lazy-seq (iterate f (f x)))))
Putting it together, here's an implementation of mark that works correctly for finite sequences and preserves laziness for infinite sequences. Fixing sieve is left as an exercise for the reader.
(defn mark [[x :as xs] k m]
(lazy-seq
(when (seq xs)
(if (= k m)
(cons 0 (mark (next xs) 1 m))
(cons x (mark (next xs) (inc k) m))))))
(mark (range 4 14) 1 3)
; => (4 5 0 7 8 0 10 11 0 13)
(take 10 (mark (iterate inc 4) 1 3))
; => (4 5 0 7 8 0 10 11 0 13)