AirPort Utility "thinks" that you want to configure the AirPort Express to permanently connect using an Ethernet cable, so it configures the Express with that information.
If that is not your goal, you need to allow AirPort Utility to configure the Express using wireless only.....the way that you likely want it to work.
If AirPort Utility cannot "see" the Express using wireless only, it may be necessary to perform a Factory Default Reset on the Express, as outlined in this Apple Support document......Resetting an AirPort Base Station or Time Capsule FAQ
How are you trying to configure the Express? What service will it provide on your network?