For Jay Gatsby, at this point, when everything is out in the open, Daisy's confession that she never loved Tom, is a public affirmation that she loves him. Even though Daisy admits this with some reluctance, it is convincing enough proof that she, if she never loved Tom, does not love him still and, therefore, that she must love him.
It is easy to see how naive this belief is, since the one does not necessarily exclude or cancel out the other. Jay, however, was prepared to push Daisy into making this statement because he wants all of her. The fact that he has driven her into making such a statement proves that he is so overwhelmed by his desire for her that he would even make her say something that she would otherwise not have said. Jay Gatsby is totally smitten by the idea of a romantic ideal, an utopia in which he and Daisy have only each other and everything else, even the past, has ceased to exist.
This romantic idealism is what has possessed him from the time he was overwhelmed by Daisy's charm and beauty. When he initially fell in love with her, he was consumed by the need to wholly have her as his own. Daisy had become the epitome of whatever he desired. She had become his holy grail. It is for this reason that he had gone out of his way to amass his fortune.
When Jay discovered that Daisy had married the inordinately wealthy Tom Buchanan, he went about doing whatever he deemed necessary to win her back. This included becoming acquainted with members of the criminal underworld, such as Meyer Wolfsheim, and dealing in illegal junk bonds and bootlegging. It was essential that he become Tom's equal or better so that he may draw her attention and eventually get her back.
It was for this reason that he bought an immense house across the bay from Daisy's house and why he arranged immensely extravagant parties at which he stayed aloof. he believed that she would, somehow, be attracted to his exorbitantly lavish affairs and he would be able to make contact and once again woo her. He loved her so much that he wanted to recreate and relive the past. He was prepared to risk everything, even arrest, to fulfil this dream.
When Nick told him that one cannot recreate the past, he stubbornly rejected the idea stating, 'Of course you can.' It is this unwillingness to accept and deal with reality, that eventually sealed his doom. Jay's stubborn refusal to separate fact from fantasy, is pertinently illustrated in his reaction when Daisy, after Tom's references to their own obviously deep romantic interludes, reacts as follows:
“Oh, you want too much!” she cried to Gatsby. “I love you now — isn’t that enough? I can’t help what’s past.” She began to sob helplessly. “I did love him once — but I loved you too.”
His response is described thus:
Gatsby’s eyes opened and closed.
“You loved me too?” he repeated.
He simply cannot believe that he was not (and probably still is not) the only one she loved. Her statement and Tom's remark that even what she said is a lie, are devastating and make it painfully obvious that his dream is to never become a reality. Jay is utterly devastated.
When Tom starts talking about his illicit business dealings and he later tries explaining things to Daisy, it becomes even more evident that the dream is over, as illustrated in the following extract:
But with every word she was drawing further and further into herself, so he gave that up, and only the dead dream fought on as the afternoon slipped away, trying to touch what was no longer tangible, struggling unhappily, undespairingly, toward that lost voice across the room.
Jay had risked so much. In the end, he played a gamble and tragically lost.