Some might say it is secret or something that is hard to understand. But then, it is just that, a hard problem. Would quantum mechanics be a mystery then? Or rocket science, or purpose of life?
Mystery is perhaps everything and perhaps nothing. It depends on how you can exercise your faculties and how you can build on them once you have reached a definite conclusion.
Say, an apple is in front of your eyes and you are blindfolded. The question is "what is in front of you".
Is it a mystery? Very much so. Now, I put some ear plugs in your ears and play L'amore. What track is being played in the back and what effect does it have on the object before you?
Now, I unplug your ears and remove the blindfold.
Voila, L'amore plays in the back and no effect on the apple.
How is the apple?
Mystery still. You have not tasted it but you might have answered sweet. Because it is the recollection of all those experiences you have had in the past. But think again. There must have been some dreadfully bitter or dry ones, or at least sour ones.
Thus mystery is something that can either not be perceived for a limited time through our senses and/or is beyond our senses. For example, UV rays. (Yet they are not a mystery which I am coming to in a minute)