Slight clarification, but standard operations are not sufficient to construct all algebraic numbers. Once you get to 5th degree polynomials, there is no guarantee that their roots can be found through standard operations.
Galois went a step further and proved that there existed polynomials whose specific roots could not be so expressed. His proof also provided a relatively straightforward way to determine if a given polynomial qualified.
So it's a bit stronger than the term "closed formula" implies. You can then show explicit examples of degree 5 polynomials which don't fulfill this condition, prove a quantitative statement that "almost all" degree 5 polynomials are like this, explain the difference between degree 4 and 5 in terms of group theory, etc.
For context, a number is transcendental if it's not the root of any non-zero polynomial with rational coefficients. Essentially, it means the number cannot be constructed using a finite combination of integers and standard algebraic operations (addition, subtraction, multiplication, division, and integer roots). sqrt(2) is irrational but algebraic (it solves x^2 - 2 = 0); pi is transcendental.
The reason we haven't been able to prove this for constants like Euler-Mascheroni (gamma) is that we currently lack the tools to even prove they are irrational. With numbers like e or pi, we found infinite series or continued fraction representations that allowed us to prove they cannot be expressed as a ratio of two integers.
With gamma, we have no such "hook." It appears in many places (harmonics, gamma function derivatives), but we haven't found a relationship that forces a contradiction if we assume it is algebraic. For all we know right now, gamma could technically be a rational fraction with a denominator larger than the number of atoms in the universe, though most mathematicians would bet the house against it.