This quote can be found in Part 2, Chapter 3. Winston says this to Julia once while they are out at their little hideout where they meet for their affairs. What Winston means by this is that he thinks that they are doomed. He thinks that the Party will end up catching them and that what they are doing will not change anything. That is why they cannot win.
I agree with Winston. Even if they never had gotten caught, their affair was not going to change the society. They had no way to make it into a bigger rebellion.
In 1984, the game of rebellion is unwinnable against Big Brother because it's the state versus the individual. It's hundreds of people with millions of dollars of resources against one person. It's an army with bombs and bullets and tanks against one defenseless person. It's a million eyes and spies against one.
See the mismatch?
Not only that, but the individual has no idea who he's fighting. Winston thinks there's a Big Brother, but there's not. He thinks there's a Goldstein, but there's not. He thinks the proles will rise up, but they won't. He thinks the state is fighting the Eurasians, but they're not. He thinks Charrington is a sweet old man, but he's not. He thinks O'Brien is a rebel, but he's not. Winston is so isolated, weak, and without resources that he doesn't stand a chance.
Not only that, but there's torture. Winston has his body summarily broken. He is starved. His head is put in a cage with rats. His teeth are pulled out. He is psychologically broken: O'Brien convinces him that 2 + 2 = 5.
The odds of a rebellion of one beating a state-sponsored war machine are astronomical. It's not even a game. A game has rules. A game has two sides playing. This dystopia is completely one-sided.