The reason why scientists are unsure of how Stonehenge was built is because, if memory serves, there is no evidence of any construction having occurred. The ground around the area is supposedly clear of any evidence of any construction tools of the time. This leads to the obvious, and most plausible, theory that the construction was either cleaned up, or the evidence worn away over time. Like all theories, it's not an absolute truth, and it is open to being disproved, but considering the lack of any evidence supporting one thing or another, it's the most probable theory out there.
I'll admit, there are some very... odd... things that exist on this planet that don't seem to make much sense to the modern observer. For me, the answer will always be that they're unknown due to forgetting the past, until proven otherwise. The amount of information that is lost everyday is saddening, to say the least, so it would not surprise me if some of the mysteries of the planet are merely discoveries that have been lost through time. Just as an example, a language is lost, on average, every 14 days. It would not surprise me if we've lost the answers to these questions hundreds, if not thousands, of years ago.