Mykonos can be easily reached from Rafina or Piraeus (near Athens) where there are daily ferries departing to the Cyclades, but off course there are also direct flights to Mykonos from the airports at Amsterdam and Brussels.
Check the following websites:
Cyclades Fast Ferries, Blue Star Ferries, Alfa Ferries and Agoudimos Lines (Rafina - Andros - Tinos - Mykonos - takes about 4 and a half hour), Hellenic Seaways (Tinos - Mykonos - Naxos - Paros), Sea Jets Consortium (Rafina - Tinos - Mykonos of Rafina - Mykonos in two hours).
Ferry connections from Rafina to Mykonos are very good and plenty. There are also ferries leaving from Piraeus heading for Mykonos, but it is easier and more convieniant to leave from Rafina. First of all it is not as hectic and large as Piraeus and second of all you don't have to go through Athens. You can reach Rafina from the airport by bus or by taxi in about half an hour.
If you want to check the ferries from and to Mykonos and order a ticket - click here.