Daisy seems mysterious to Gatsby because Gatsby has built her up to be mysterious. Because of the intensity of their relationship in the beginning, and then their prolonged absence from one another, Gatsby has developed a dream image of Daisy that may not correlate with the real woman.
The mysterious quality of Daisy as a character develops from the fact that Gatsby doesn't really know her. He assumes throughout the story that Daisy loves him and wants to be with him because of that love. However, when Daisy is ultimately faced with choosing Gatsby or Tom Buchanan, she chooses the more financially stable of the two, Tom. Gatsby loves his vision of a mysterious Daisy, even though she really is rather transparent.