Hello agriesser,
Thank you for your reply, I did try with https and also with redirect_http_to_https set to true but I didn’t manage to make it work.
However I tried to add TLS directly on Mattermost Server while keeping Nginx as proxy and it worked, here is the modification I made on Nginx :
under ssl server block > location block (both websocket and root location) :
…
proxy_ssl_certificate /etc/pki/tls/certs/mattermost.cert;
proxy_ssl_certificate_key /etc/pki/tls/private/mattermost.key;
proxy_ssl_session_reuse on;
proxy_pass https://backend;
Mattermost webserver config :
SiteUrl set to https:// instead of http://
Enable TLS
Enable insecure connection (as I use self signed certificate)
Gitlab :
Set callback URL with https
I saw on another post that both Gitlab and Mattermost had to use TLS but I thought that having Nginx with TLS was enough.
Problem solved 
Best regards,
Frédérick