- Put yourself in their shoes
- Think of times you’ve been in a similar situation and explain your reaction
- Can the behavior be explained by a more “universal” model than a person-specific one?
- How are they empathizing with you, given they are projecting?
- How are they empathizing with you, given what you know about how they perceive others?
- What successful model have you used to explain similar behavior for similar people?
- Is your conclusion affected by your attitude towards the subject?
Saying "I don't understand X" is not a mysterious answer per se, just reflecting lack of one's knowledge.
But there is a chance that Bob has a mental model containing a mysterious answer, which generated this specific response. The model could be like "it is not possible for a typical man to understand women". Such model would give a mysterious answer to Alice's behavior, and to prevent falsification it would provide a possible exception for Mark (or anyone else, if necessary).
So we need more information from Bob, what exactly is his model. Does he believe that his "not understanding women" is caused by not enough knowledge or experience yet, or that there is some fundamental problem that prevents him from ever making a better model?
By social convention, "I don't understand women" includes the implicit term "And learning more about women does not pay off at what I consider reasonable effort."
I agree that statement is implicit and not a necessary part of the spoken utterance, but it is almost always there. Consider the very similar statement (by a non-nerd) "I don't understand math." It's substantially the same issue.