I'm not a chemist, but I do know how to find Wikipedia.
"When water or ice is added to ouzo, which is clear in color, it turns milky white; this is because anethole, the essential oil of anise, is soluble in alcohol but not in water. Diluting the spirit causes it to separate creating an emulsion, whose fine droplets scatter the light. This process is called louching, and is also found while preparing absinthe."