American society during the 1920s, especially the early part of the decade, was defined in large part by its reaction to the Great War. The war dramatically changed the way people thought about themselves and the world, and Nick is no exception to this. He says that he returned from the war "restless" and with a sense that the Midwest was no longer the center of the universe for him; instead, it felt like the outskirts: small and slow and relatively insignificant. The war made the world seem like a much bigger place than it did before Nick went away, and these feelings upon his return compel him to move on, to go somewhere bigger and faster: New York, then, is perfect.
Further, Nick hopes to have things just make sense and be clear and unemotional for a while. He says, "I wanted the world to be in uniform and at a sort of moral attention forever; I wanted no more riotous excursions with privileged glimpses into the human heart." Thus, he moves to the big city and joins the bond business, hoping for just such an unemotional and straightforward world (compared to the very emotional and dramatic world of war).