A macromolecule is simply a molecule that contains a number of atoms on par with the thousands. While a chemistry based definition would consider the macromolecule to be only parts held together by covalent bonds, a more chemistry inclined definition would include the weak intermolecular forces as well, meaning that the graphite in bulk is a macromolecule; specifically a macromolecular crystal. What you are seeing is a form of the graphite crystal structure.
It may be easier to imagine things like shale (which are coincidentally also primarily of carbon composition), where in one direction form a solid piece, but in a different plane are revealed to be thin sheets, which can be separated with little force.
As to why there are the intermolecular forces in the first place, you must remember that in the graphite sheet, each atom is bonded in hexagon form. There will be no additional bonding on either side of these sheets, so only van der Waals forces will be acting.