This quote is stated by Jordan when discussing the differences between large and small parties. The statement is meant to be witty and ironic, as most people would consider large parties to be a lot less intimate because of the number of people. However, in this quote, Jordan argues that large parties are in fact more intimate. This is most likely due to the fact that it is easier to remain anonymous and unidentified in a large party.
This is exactly the reason why Gatsby throws large, fancy parties so often. Gatsby wants the parties to become so well-known that they reach the ears of Daisy. However, he also wants the parties to be so big that they hide his true identity and provide a sense of mystery to the persona that he has created. It shows that Gatsby is not comfortable with showing who he really is, and instead relies on various methods to give an impression that is far from the truth.