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I mean, how to make so that an undefined information in the plot be considered a mystery, i.e. an intentional unanswered question, instead of:

ー So, then what?
ー Well, this is an unknown fact in the story.
ー Sorry but this story is incomplete..

4

Near the end of the book, have a character comment on it, and perhaps express some kind of emotion about the mystery.

If I remember right, Stephen King did that in The Colorado Kid.

This trick—have a character comment on it—is useful whenever you want to make it clear that you are aware of something that may bother the reader. Not only unresolved story questions, but also improbable successes (have a character say something like, "it's a million to one..."). Some readers will be unsatisfied by that, and you can't patch every "hole" this way, but at least readers are aware that you left the hole there on purpose.

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    +1 - This technique is commonly called "lampshading". Samuel Delany does this effectively in Dhalgren, where the entire book is filled with deliberately unsolved mysteries. A common occurrence in the book is for the characters to feel they have finally solved a mystery, only to later realize their solution is unworkable. You might also compare the work of Murakami, where the retention of plotholes is raised to a high art. – Chris Sunami supports Monica Aug 24 '15 at 16:01
  • The Writing Excuses folks use the phrase "hang a lantern on it." – Dale Hartley Emery Aug 24 '15 at 19:10
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You might need to clarify your question: I'm not sure exactly what you mean. But maybe:

(a) As Dale Emery says, have the character's comment on it. If, for example, you never mention what Fred does for a living, the reader may not even notice that you don't bring it up. Or if it's obviously relevant, the reader may wonder if the author made a mistake by failing to clarify. But if a character says, "It's funny that nobody knows what Fred does for a living", then you make it explicit.

(b) Have the characters do, or attempt to do, something about it. I often get maddeningly frustrated when the characters in a story never do what would seem the obvious thing to solve their problem. Sometimes I find myself just wanting to shout at the book or the TV screen, "Why don't you just call the police?" or "Why don't you just tell her you love her?" or whatever. And I know that the real reason is because if the characters did do the obvious thing, that the story would be over in five pages. But this is easily solved by having the characters attempt the obvious thing and it not working for some reason. Like they call the police and the policeman shows up and turns out to be part of the conspiracy and calls that station and says, "Nothing going on here. Just some nutcase making up crazy stories."

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In combination with "lampshading" the unsolved mystery in dialogue, as mentioned in the answers by Jay and Dale Hartley Emery, you can demonstrate that your unanswered question is intentional by putting it right at the beginning or right at the end of the story, i.e. at the parts of the story where readers know that the writer is most likely to have carefully planned every detail.

I can't think of an example, but I know my interest has often been piqued by a story starting with something like, "We never did find out how the Duchess disposed of the severed head..."

Putting the unsolved mystery at the end works well in both the book and the film of The Day of the Jackal. From memory, almost the last scene of the film ends with someone asking, after discovering that the eponymous Jackal could not have been the man they were tracking, "Then who the hell was he?" Somehow it adds to the memorability of the Jackal's character that we never do find out his true identity.

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