You can use \tag*{<stuff>} to add descriptions without the surrounding (...) common to tags. If you want custom tags surrounded by (...), use \tag{<stuff>}.

\documentclass{article}
\usepackage{amsmath}
\begin{document}
\begin{align*}
\mathcal{P}(Z \leq z) &= \mathcal{P} t \{f_1(\delta).f_2(\delta) \} \tag{description1} \\
&= \exp(mt) \star \left\{ \frac{\ell}{2\sqrt{\pi t^3}} \exp(-\ell^2/{4t}) \right\} \\
&= F_1 \times F_2 \tag{description2}
\end{align*}
\end{document}
It's probably better to use a macro-like approach through something like
\newcommand{\eqdesc}[2][2em]{\tag*{#2}\hspace{#1}}
which inserts a 2em space at the end of the \tag*, effectively indenting it from the right-margin. This could separate it visually from other, regular \tags, if needed.
A more tabular-like display of descriptions is possible if you just add another equation into the mix:

\documentclass{article}
\usepackage{amsmath}
\begin{document}
\begin{align*}
\mathcal{P}(Z \leq z) &= \mathcal{P} t \{f_1(\delta).f_2(\delta) \} &
\text{description1} \\
&= \exp(mt) \star \left\{ \frac{\ell}{2\sqrt{\pi t^3}} \exp(-\ell^2/{4t}) \right\} \\
&= F_1 \times F_2 &
\text{description2}
\end{align*}
\end{document}
There will be a visible space between the equations to separate them.
\tagand\tag*are similar to equation numbering. In fact, if you use add a\label, you can\refit later. If you're not using any\label-\refs with these descriptions, you can manhandle them slightly using something like\newcommand{\eqdesc}[2][2em]{\tag*{#2\hspace{#1}}}. This puts a\tag*with a default space of2emon the right, effectively pushing it in2emfrom the right margin. Use\eqdesc[3em]{stuff}to change the default spacing. Is this more in line with what you're after? – Werner Jan 26 '19 at 06:49\begin{tabular}does here – Daneolog Jan 26 '19 at 06:56\text. I've added that as another option to my answer. – Werner Jan 26 '19 at 07:01