Many college students have difficulties in understanding and making connections among the main concepts of statistics. Compounding the difficulties is the misconception of a variety of statistical concepts that students hold even before taking any statistics course. It is, thus, crucial to investigate how the understanding of statistical concepts is constructed and at which stage students start to lose making connections among various concepts. This article reports some findings from our study of investigating the path of learning statistical concepts, specifically on how students learn the concept of variation. We focus on investigating the missing connections about their understanding of variation. The framework of statistical thinking, PPDAC investigative cycle, is used as our guideline for analyzing our interview data.