Aberdeen winger Niall McGinn, Motherwell's Michael Higdon, fellow striker Leigh Griffiths of Hibernian and Inverness Caley forward Andrew Shinnie were all nominated for the award on Wednesday.
Mulgrew, who picked up the prize last season, believes at least one of his Celtic team-mates should have been on the short-list after the team remained in four competitions until February.
"I still don't see how one Celtic player didn't have enough votes to get into the top four," Mulgrew said.
"It has been noted what we have been done in the Champions League (reaching last-16) and being so clear in the league so it's disappointing. It's baffling to be honest."
Mulgrew echoed the sentiments of manager Neil Lennon, who admitted he was perplexed that none of his team were short-listed when he was asked for his opinion on Thursday.
Lennon's reply prompted Kilmarnock counterpart Kenny Shiels to describe Celtic as "Paranoid FC", which Mulgrew dismissed as nonsense.
"It is definitely not paranoia," Mulgrew added. "I've said how I feel about why at least one of our players should be involved in the top four.
"It is understandable how disappointed the manager is, everyone feels the same.
"The nominations are not tainted at all. They have done very well, four good players who scored a lot of good goals and deserve to be nominated."