I believe this should be attributed to Johannes Jacobus (J. J.) van der Leeuw, who wrote, “The mystery of life is not a problem to be solved; it is reality to be experienced,” in The Conquest of Illusion (http://bit.ly/2hk6ubr). Also the Oxford Essential Quotations (4 ed.) says about this quote that it is “often misattributed to Kierkegaard, following a piece by Cyril Connolly in Horizon vol. 11 (1945)” (http://bit.ly/2hbm6Qv).