As stated, everyone is complicated. As human beings, we tend to find things we cannot understand as complicated. If we fail to understand something, we tend to ignore it or criticize it. While the above answers offer wonderful explanations, I am going to suggest something a little different.
Think about if everyone was the same. It would be a very simplistic world. We need differences in life to challenge us, deepen our understanding, and learn about living on a planet filled with diversity.
People - boys, girls, women, and men - are complicated. Navigating various social environments, balancing desires with rules, balancing the present with an idea of the future...there is a lot going on inside all of us a lot of the time.
Boys seem complicated to girls, especially, because the specific pressures that boys are dealing with are not entirely shared by girls. The same is definitely true in reverse.
From a teenage perspective, which I presume is where @sashaaa11 is coming from, I don't think it's that boys are complicated it's just that you have to learn how to relate to them. This isn't just a gender issue, it's a growing up issue. There are plenty of adults who lack the emotional intelligence to relate to and understand other people, but when you are young you haven't yet had enough practice, and it's all about practice.
Being able to understand another person or their perspective is often about experience and having interacted with many different people, having experienced different situations and learnt why people are motivated to do certain things. So if you think someone is complicated, try and think about that 'complicated' person's reasons for doing certain things. It's probably that they haven't got those skills of knowing how to relate to another person in a particular situation yet either.
I definitely agree with @litteacher8 in the post above. Sometimes even if a person wants to act in a certain way, they feel they can't and that creates further confusion.
I think that one of the reasons we find people of the opposite gender to be complicated is that we reinforce strict gender roles, such as that boys dont's show emotions. Boys feel like they have to stick to these, and they get conflicted.
Both sexes seem complicated to the other because we think the opposite sex is really important (we want relationships) and yet we have a hard time understanding how to attract people of the opposite sex and form relationships with them. We don't really think members of our own sex are that complicated because we don't care so much about our relationships with them (and there's not the issue of romance).
People in general are complicated beings. We have opinions on things, we have different environments we were raised in, and have different expectations and goals. Personalities are exactly that--personal. Everyone is a unique individual, a sum total of all of our genes, interacting in various environments. People never really know anyone else completely--only themselves. Therefore, males and females are very complicated individuals who don't act in a vaccum and are influenced by genetics, hormones, environment and other people they associate with.
Boys could ask the same thing about girls.