Because it's like he was set on finding this "holy grail". And as most know, the holy grail is not exactly a real thing unless you're thinking of it back to arthurian literature, but rather a word used to describe something that is of the utmost importance to them, if that makes sense. For Gatsby, his holy grail was Daisy/ having her love. The holy grail is a religious thing. It's just like comparing them together.
