I heard somewhere that Gemara (Bavli) only covers a part of the Mishna and there is a big portion of Mishna that does not have Gemara associated with it. If this is true, why not all of the Mishna is covered?
The Babylonian Talmud does not have Gemarah for the majority of the tractates in Zer'aim, the first of the six Mishnah "orders". As a matter of fact, only tractate Brachot has Gemarah. There are other tractates as well, such as Avot, that have no Gemarah. I don't recall the full list.
Regarding why Brachot is the only tractate in Zera'im having Genarah, I read (don't recall the source, offhand. B"N. I'll edit, later.) the reason is that other than Brachot, the other tractates deal with laws applicable only in the land of Israel and have to do specifically with land laws. Thus, it was not applicable in Babylonia. (As CashCow mentioned in a comment, the Jerusalem version has Gemarrah for it.)
I can't explain why each of the other tractates have no Gemarah. IMO, Avot, could have used one, but, then, if it did, we might have put much of the current marketing of Avot commentaries out of business :-)
The first generation of Amoraim didn't spend much time learning Taharos, but in the times of Abaye there were thirteen Yeshivos learning it. Nevertheless there is no Gemara Bavli on most of Taharos, Kodshim and Zraim.
However, the Gemara does discuss the principles of Taharos in other areas. It seems to be placed in the same way that Agadatta gets placed. They had a whole discussion without a Mishna to pin it to, so they found the closest relative.
It often looks like the Gemara gets off track and almost loses its train of thought. In actuality they were looking for a place to stick it in.
So, the reason for the lack of Gemara is probably that there wasn't enough material to dedicate a whole tractate.