Like most "SPV" or "lite" wallets, Mycelium relies on retrieving transaction information from external servers. If you're not connected to the internet, then obviously your wallet cannot retrieve this information, so will have nothing to display.
Once it is connected, it will be able to request transaction info from the Mycelium servers and then you will see the transactions relating to your wallet... and it will then be "synced". If you then go offline, you will see be able to see all the data already received, you just won't see any new transactions that occur until you go online again and sync again.