They need to be adjacent to you.
'Combat Challenge' had its text updated in UpdatePH to make it clear that the mark affecting the enemy must have been put there by you. Unfortunately, they removed a 'that' which introduced the ambiguity that you noticed.
The errata says:
Combat Challenge
Page 76: In the second paragraph, replace “a marked enemy that is adjacent to you shifts or makes an attack” with “an enemy marked by you is adjacent to you and shifts or makes an attack.”
So that the second paragraph now says (emphasis mine):
In addition, whenever an enemy marked by you is adjacent to you and shifts or makes an attack that does not include you, you can make a melee basic attack against that enemy as an immediate interrupt.
However, I think that the original text made it clearer what the subject of the sentence was, as it used to say:
In addition, whenever a marked enemy that is adjacent to you shifts or makes an attack that does not include you, you can make a melee basic attack against that enemy as an immediate interrupt.
Of course, this phrasing doesn't require you to be the one that marked the enemy. What they're going for is:
In addition, whenever an enemy marked by you that is adjacent to you shifts or makes an attack that does not include you, you can make a melee basic attack against that enemy as an immediate interrupt.
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