In Chapter 4 of The Great Gatsby, we are introduced to Wolfsheim. He is a shady character, who seems to be close with Gatsby. We get the first taste that Gatsby may not be as innocent as he wants other people to think he is. Wolfsheim tells Nick the story of the night he was present at the killing of Rosy Rosenthal, a known gangster, showing us that Gatsby has been surrounded by these kind of people.
"Filled with faces dead and gone. Filled with friends now gone forever. I can't forget so long as I live the night they shot Rosy Rosenthal there."
This is the first time we begin to see Gatsby as having a secret. There have been rumors flying around about how he got his money, but now we see that he may have dealings with gangsters. We are introduced to this idea early, and the questions follow throughout the novel. We are never really aware of how Gatsby has made his fortune, but by this one event, we begin to think that it may not be in a honest way. The mysterious life of Gatsby pulls us in from the very beginning and we want to think the best of him. We are now seeing a side to him that may not be so forgiving, after all.
The story that Wolfsheim tells Nick about his presence during the shooting of Rosy Rosenthal, a famous gangster, clearly links him to the arena of underworld crime and presents him as a shady character. Of course, the real purpose of Wolfsheim is to taint the shining purity of Gatsby in the same way. Wolfsheim's involvement in the "making" of Gatbsy clearly suggests that Gatsby has made his wealth through illicit means. When he is so closely related to a character who is familiar with famous gangsters, has fixed the world series and uses human molars as cufflinks, we as readers, just as Nick does, suspect that Gatsby's meteoric rise to wealth and fame is due to some form of illicit activity.