Gatsby says this to Nick before the group of 5 goes into New York City. Gatsby and Nick are waiting for Tom, Daisy, and Jordan as they get ready for the trip into the city and there is a sense of awkwardness in the air that has been very pronounced ever since Daisy kissed Gatsby in front of Nick and Jordan when Tom left the room to take a phone call. Possibly here Gatsby is showing some respect to Tom, or at least what he perceives as respect. He doesn't want to undermine Tom's authority under Tom's own roof and telling Tom what's going on would be undermining Tom. Gatsby has some odd values and some unusual dreams such as seeing it as acceptable that he have an affair with a married woman and believing that he can completely recapture the past. He tends to see things in black and white though, with little gray, so he probably believes that it would be wrong to emotionally and verbally attack Tom in Tom's house. Telling Tom everything at another location however would be perfectly acceptable and even the right action to take in Gatsby's thinking. He learned many of his adult attitudes from Dan Cody, the military, and from his current business associates and he learned his lessons well. Because of that, he has little wiggle room in his personal rules.
This is Gatsby's admission that he is helpless to press home his temporary emotional advantage over Tom Buchanan. Nick, Gatsby, Tom, Daisy, and others are together in Tom's huge house in brutal heat, and Daisy has just let slip, though an apparently innocent remark, that in fact she is in love with Gatsby:
“Who wants to go to town?” demanded Daisy insistently. Gatsby’s eyes floated toward her. “Ah,” she cried, “you look so cool.”
Their eyes met, and they stared together at each other, alone in space. With an effort she glanced down at the table.
“You always look so cool,” she repeated.
She had told him that she loved him, and Tom Buchanan saw. He was astounded. His mouth opened a little, and he looked at Gatsby, and then back at Daisy as if he had just recognized her....
If Gatsby were secure and hard enough to put Tom down decisively, this would be the moment. Tom is stunned, and as vulnerable as he ever will be. But Gatsby cannot do it. At the crisis, he flinches:
Gatsby started to speak, changed his mind, but not before Tom wheeled and faced him expectantly.
“Have you got your stables here?” asked Gatsby with an effort.
“About a quarter of a mile down the road.”
Gatsby turned to me rigidly:
“I can’t say anything in his house, old sport."
Tom, back in command, changes his mind about Daisy's suggestion and insists on making the trip into town that will result in the death of Myrtle and thus in Gatsby's death.