We get many of the myths about Gatsby from his party guests. Clearly, Gatsby's past is mostly unknown to those in his second life (with the exception of Nick and later Daisy and Tom). But his party guests really have no personal friendship with Gatsby; they use him to have upperclass social lives. In Chapter 3, Nick is with Jordan at one of Gatsby's parties and they hear one girl say she'd heard that Gatsby killed someone. Then they hear the idea that he was a German spy during the war. At the beginning of Chapter 4, Nick describes the party-goers as "...those who accepted Gatsby’s hospitality and paid him the subtle tribute of knowing nothing whatever about him."
Fitzgerald keeps us guessing because Gatsby is a self-made man, quite literally. He has changed his name, his personal history, all in the attempt to remake himself as a more suitable suitor for Daisy. Gatsby meets Daisy in Chapter 5, but we don't get the whole story about him until the next chapter. Fitzgerald makes us piece Gatsby together because Gatsby has pieced himself together in this new persona. Also, we (readers) piece him together in the way that Nick has had to. This is fitting because we see Gatsby through Nick's eyes.
In Chapter 6, Nick finally provides the story of James Gatz. We learn that Gatz/Gatsby had been imagining his future self to be much more than he could muster with his humble beginnings in life. He recreates himself, getting much inspiration from Dan Cody, a rich prototype for the future Gatsby. Though Nick had to piece Gatsby together frustratingly (with all the rumors), he takes mercy on the reader in Chapter 6:
He told me all this very much later, but I’ve put it down here with the idea of exploding those first wild rumors about his antecedents, which weren’t even faintly true. Moreover he told it to me at a time of confusion, when I had reached the point of believing everything and nothing about him. So I take advantage of this short halt, while Gatsby, so to speak, caught his breath, to clear this set of misconceptions away.