Why are mental states not states of the brain? Well, what is a brain, after all? A brain has to be described as a set of particles. No individual particle of the brain is the brain, it is as set. But what makes a set a real object? If you don't accept essences of some kind or another.
What is a naturalistic perspective on what a "whole" is? Here is David Hume.
“The WHOLE, you say, wants a cause. I answer, that the uniting of these parts into a whole, like the uniting of several distinct counties into one kingdom, or several distinct members into one body, is performed merely by an arbitrary act of mind, and has no influence on the nature of things. Did I show you the particular cause of each individual in a collection of twenty particles of matter, I should think it very unreasonable, should you afterwards ask me, what was the cause of the whole twenty. This is sufficiently explained in explaining the cause of the parts.” (Dialogues Concerning Natural Religion)
What is a whole? It is a product of AN ARBITRARY ACT OF THE MIND," and not something in the nature of things. If the brain is a whole, then it can't exist without there being a mind. It s a mind-dependent object.