Nicklaus, speaking on Tuesday ahead of this week's Memorial Tournament which he hosts in Dublin, Ohio, was at a loss to explain how McIlroy has not celebrated a major since winning his fourth at the 2014 PGA Championship.
"I mean, he is, as far as talent, he's as talented a player as there is in the game of golf," said Nicklaus. "Why he hasn't won in nine years? Kind of a mystery to a lot of people because he is so good."
McIlroy missed the cut at the 2023 Masters, where he was seeking the final leg of the career Grand Slam, and then took a break to focus on his mental wellbeing following a taxing year in which he served as an unofficial spokesman for the PGA Tour in its battle with LIV Golf.
The Northern Irishman, in his second event back from the break, finished seventh at the PGA Championship and now looks to build off that this week at the Memorial ahead of his next shot at major glory in the June 15th-18th US Open.
Nicklaus, who won a record 18 major championships during his storied career, said he spoke with McIlroy earlier on Tuesday at Muirfield Village and was unsure how to explain why the golfer is stuck at four majors.
"I don't know really know what to make of it. Because he's very confident. He works very hard at it. He's a good student of the game. He practices a lot," said Nicklaus.
"I don't know whether his is a constant lack of being able to keep that concentration for the whole thing or not, because sometimes he is the par, par, par, double, 8.
"He does that sometimes. And I said, 'Why, Rory? Why does that happen?' And ... he doesn't know."
Nicklaus went three years without a major between 1967 and 1970 - a drought by his lofty standards - a dry spell during which he still played well but was not logging the necessary practice hours as his family became more of a priority.
"It's a matter of - we all go through periods. Rory may be going through a little bit of that period," said Nicklaus, who went on to collect seven majors over the next five years, starting with the 1970 British Open.
"He's going to wake up one morning and say... 'Hey, I better, you know, get on the stick here and start winning some more majors', because he's certainly going to win some more. I can't believe that he's not.
"And sometimes we all have to focus, focus on what we have to do and so forth and to get there."