Cat string theory is a phrase coined by Mystery that refers to the fact that cats will often chase after a feather dangled in front of it from a string, but will quickly lose interest in the feather if it is simply placed in front of the cat.
The analogy to pickup is that women are the cats, men are the feathers. Even though a woman may be initially attracted to a man, that attraction can quickly be lost if the man showers her with too much attention, especially in the beginning stages of a pickup. Women, just like men, enjoy the chase, so the harder they have to work for something, the more they enjoy it.
The idea of cat string theory can be put into practice through such techniques as push/pull, 101, and BHRR, which all alternate between showing a woman interest and disinterest. Other useful techniques include role-reversal and prizing, so that the frame is set up so that the woman is chasing you, rather than the other way around.
Cat string theory in action: