In the Catholic sense it must be something significantly deeper in meaning than failure to comprehend. Perhaps, in the Catholic sacramental imagination, mystery is God's inexhaustible drink for our unquenchable thirst.
Your favorite cup. Picture it in your mind's eye. Imagine what it feels like. Now fill your favorite cup with your favorite drink. Look carefully at your drink's color in your mind as you roll it around inside your favorite cup. Smell it, and finally taste it. Drink deeply from your favorite cup filled with the most delicious of drinks. Now pull the cup away and look inside of it. To your surprise it's full. You drink again and look again. It is still full. And you still thirst. This is mystery --the inexhaustible drink for one's unquenchable thirst. One cannot possibly consume it all at once, and amazingly the more one drinks of it's deliciousness the more there is to drink. Such is mystery, such is life, such is God.