The air of mystery means there's something unconventional about a person. And especially in our conformist society here in the US, that's RARE, and therefore usually attractive, unless it's really WEIRD somehow.
For example, any woman who doesn't make eyes at the guys with the most money right away is a mystery to most people in the US.
Secondly, again especially for women, but guys as well, if they don't dress the EXACT same way as everyone else around them...right away that''s enough to create an air of mystery.
You could write a book on this and probably someone should!