Nick has spent much of his time just before this comment learning more about Gatsby's past. As he has heard more of the story, he has become increasingly aware of how much of Gatsby's life is based on dreams and illusions, hopes that may never come to fruition, and how much of Gatsby's past associations are questionable at best.
Nick has become aware of the background to Daisy's situation, which is also filled with dreams and disappointments. His cousin's marriage and lifestyle are not the substantial and productive existence that Nick valued.
In the aftermath of these depressing revelations about people Nick cared about, he found himself with Jordan - a real person, not a dream or a distant memory. She was physically there, with him, responding to his words and advances without any deceptiveness, without any distraction except the physical attraction between the two of them.
Nick's thoughts are giving voice to his thankfulness to be away from dreams and illusions and disappointments and fantasies. For that moment, he could focus on pursuing Jordan, getting away from the busy times and people, relaxing from the tiredness of trying to understand the life and ways of the Eastern society.