It seems appropriate for us to peruse the text here before we delve into this discussion. Something very important to note is that this quotation comes directly before we see Gatsby stretching his arms toward Daisy's green light at the end of the dock for the very first time.
Fifty feet away a figure had emerged from the shadow of my neighbor's mansion and was standing with his hands in his pockets regarding the silver pepper of the stars. Something in his leisurely movements and the secure position of his feet upon the lawn suggested that it was Mr. Gatsby himself, come out to determine what share was his of our local heavens.
Now, why does Nick observe that Gatsby emerged from the shadows instead of from the mansion itself? In my opinion it is for two reasons: to increase the air of mystery around Gatsby and to add to Nick's gut feeling that he "disapproved of [Gatsby] from beginning to end."
Give the novel another chapter or two and we will be immersed in one of the "great" Gatsby's great parties. Nick hasn't even met Gatsby yet, and our narrator is suddenly drenched in Gatsby rumors that Gatsby has "killed a man," been a "German spy," was "educated at Oxford," buys disgruntled guests extravagant clothes, etc. This is all more about the Gatsby of the shadows: the man of mystery. At his party, Gatsby is emerging out of the shadows again: the shadows of rumor.
Finally, our little Midwestern Nick, our little unreliable narrator: liking Gatsby one moment ("you're worth more than all of them put together") and hating him the next ("because I disapproved of him from beginning to end"). Most of the foreshadowing of this novel comes from Nick's very mouth, from that first moment when he tells us at Tom's that his instinct was to "telephone immediately for the police." This Gatsby who appears out of the shadow in some ways remains in shadow for the entire novel. He remains the reason why Nick comes to the East (to check out the shadows over here) and why he returns to the Midwest (to get the heck away from these same shadows). Gatsby's obsession and awkwardness and warped love. Gatsby's death and how the people of New York show their "respect" for Gatsby by not showing him any respect at all. These are all things that cause Nick to flee.
From the beginning to the end, the great Gatsby remains in the shadows: a purposefully ethereal image presented by the master of words, Fitzgerald.