What’s puzzling you is the nature of my game

Hah! I posted exactly the same question eons ago. Summary: it alluded to the hippie trail through Asia heading to India where seemingly some hippies lost their lives.

And to get on topic: I’ve never thought about the ambiguity in that line, I always assumedthat the listener is puzzled by the singer’s game, but the notion is great. I also find the interpretation that it’s told from God’s perspective fascinating. Shows what a great song it is, besides “Gimme Shelter” the best Stones lyrics IMHO.