They're not building a mystery -- they're building a river walk. Or, rather extending the river walk. You could walk/run/bike along the river from the lakefront to Michigan Avenue but then you had to climb stairs, cross Michigan, and descend stairs to continue (and then do that again at Wabash). Now they are working on creating "under-bridges" with the long-term goal to have the river walk run to State Street. To do this, they have to create a walkway. Here, they are filling in the planned path with gravel shipped in on a large barge.