From the README, which is the first thing you should read when compiling the software by your own:
See the appropriate file:
INSTALL Linux, Unix, Windows, OpenVMS, ...
And, from the INSTALL file one should read according to the README:
Don't build the statically linked engines. This only
has an impact when not built "shared".
To understand what this means I recommend to read the section How do I build a "dynamic" ENGINE? in the README.ENGINE file. It is not trivial to understand, it is probably irrelevant for most users of OpenSSL and it is not about security but about programming, i.e. off-topic here.