Nick has to restrain his laughter when Gatsby says he is "trying to forget something very sad that had happened to me a long time ago." Why? In chapter 4 of The Great Gatsby.
If you look closely at the story of his past that Gatsby is telling Nick on the way to New York, it's all very unbelievable. Nick sees this part of the commentary as unbelievable as well. He doubts Gatsby and his character, because he seems to come out of nowhere and he doesn't seem accountable to anything. This is part of that unaccountability. He really can't believe it and at this point in the story, Nick finds it laughable.