What makes us assign such meaning to these quantities is matching in the limit when there are only small amounts of dilute matter (which can be treated by linearized gravity). In that limit these asymptotic quantities exactly match the meaning of total linear and angular momentum of the dilute matter as defined in your classical-mechanics course. So a similar asymptotic field as for the Kerr metric would be generated by a cloud of dilute matter with a total mass $M$ and rotating with a total angular momentum $Ma$. So that is what makes you believe that there is something rotating in Kerr space-time.
So what is, really, rotating in Kerr space-time? The curvature singularity in the center of the space-time is a ring, and it would be very easy to say it is a rotating ring carrying the entire angular momentum $Ma$. But consider a very compact object very close to a black hole such as a neutron star. There you cannot assign the angular momentum only to the matter, an increasingly larger portion is stored nonlocally in the gravitational field, the space-time is rotating as well. On the other hand, the gravitational field (the space-time) would never rotate on its own, it will only rotate if the neutron star is rotating as well. This is true for any situation with matter - the field and its source rotate in tandem, each having a significant contribution to the angular momentum.
So what about black holes? There is really no rigorous argument to extend the observations of the last paragraph to the black hole, though. But consider this: in a rather precise sense, the nonsingular part of the black hole field "causes" the existence of the curvature singularity inside field. You can slice space-time in a particular way, put one of the slices not including the black hole singularity in the computer and let it evolve the slice into the future according to GR. To your surprise, it will spontaneously evolve to the singularity (in the case of the Kerr space-time it would actually evolve a crumpled singularity called the Cauchy horizon). So in this sense it is the field that causes the singularity to exist rather than the other way around. So I am inclined to say that black holes can be seen as the limit where the fraction of mass and angular momentum in the gravitational field has actually converged to the entire mass and angular content of the space-time.