Trinity whispers this into Neo's ear. This intimate act makes it appear to others that they are a couple: perhaps in order to arouse no suspicion about anything. The intimacy also gives Trinity a chance to convey the sense of significance of what she is saying to Neo. Also, about the shot, note that they are in a club with loud music while some people (namely Neo's clients) are on drugs (mescaline). Compare the way those people are drugging themselves, distorting their perspectives of the world even more; whereas Neo is soberly searching for truth. Consider the juxtaposition: a room full of people overwhelmed physically and mentally by the distractions of drugs and loud music - and Neo waiting to soak up any knowledge of the truth and what the matrix is. They are passive; Neo is active.
The matrix is all around them, the illusion of their reality. But when Trinity says, "the answer is out there," this could be an slight insinuation that one could only discover the matrix outside of places like this, outside of places which encourage delusions and distractions: referring to the club and the entire false reality that is the matrix itself.
In this respect, this scene in particular is reminiscent of Plato's "Allegory of the Cave." In the allegory, Plato describes how people don't see/understand the True Reality. Rather, it is as if they are chained inside a cave, facing one wall. They only see the shadows of figures moving around a fire behind them. To those chained people (who can not turn around to see what makes the shadows), the shadows are reality for them. In order to perceive True Reality, they must be willing to find it, willing to unchain themselves and get out of the cave. Likewise, in The Matrix, Neo is encouraged (by Trinity and Morpheus) but he must also be willing to find out the truth (outside of that building/cave, and literally outside of the entire false reality he has been living in.
The close up shot also distances Neo and Trinity from the rest of the scene; as if to separate them from that illusion of reality symbolized by the club and the entire matrix.