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It's not really a mystery because we connect a concept to an object through words. This happens because we are social animals whose very survival depends on our ability to communicate. Red is inherently a meaningless word, but because our brains have a highly developed ability for communication, I understand what you mean when you say to pick out a red ball. It's really no mystery.
It is an explanation. We have evolved as social animals, our brains are hardwired for communication, and without our brain's ability to attach a word, or sound, or symbol, to a concept we probably wouldn't be able to function as a society, we wouldn't be able to teach others how to use tools, and our survival rate would be much, much lower. You're trying to say this is a mystery, but it's not because it's all in our brain. We are capable of abstract thought, and as social animals we are extremely dependent upon being able to attach words to concepts and objects. There really isn't much else to explain unless you delve deeper into the course of the evolution of our brain and social traits.
That's not at all a legit answer to the question, but an answer to the question of why we have them.
Because we evolved as social animals, which gave our brains the ability to attach abstract concepts and apply them to the world around us. It because of this I can say things like "dasein" or "spectacle of the scaffold" and the terms could be elaborated on and fleshed out by the authors and understood by students of philosophy.
That is the simplified answer. Of course a deeper answer would require explanations of gravity and relativity, but the most simple answer that is still correct is physics.
Only because you want it go unanswered, and want it to be unanswerable. But the facts are the answer lies in the evolution of the human brain (actually at least the mammal brain, because we are not the only animals capable of attaching words to objects).
Disliking the answer is not the same as not being answerable.
Because our brains allow us to. If you want a thorough and fully fleshed out answer, go study psychology, neurology, and other areas that pertain to the brain, or at least go to a library and read up on it. Or check around on the internet to learn how the brain works (which is through electrical impulses and neurochemicals).