In chapter 4 of The Great Gatsby, Nick, while driving in a Victoria through Central Park with Jordan Baker, hears children singing the song "The Sheik of Araby":

I’m the Sheik of Araby

Your love belongs to me.

At night when you’re asleep

Into your tent I’ll creep....

Gatsby is, of course, the Sheik of Araby, and the love that belongs to him is Daisy’s, but the placement of the song in the novel indicates what Fitzgerald is mainly doing is using some literary magic. What happens before Nick hears the children singing? Jordan tells him the story of Daisy and Gatsby’s past, how they met and fell in love, before it ended after Gatsby joined the war effort. When Jordan sees Gatsby and Daisy together for the first time, she notices right away they were in love.

They were so engrossed in each other that she didn’t see me until I was five feet away… and because it seemed so romantic to me I have remembered the incident ever since.

But it wasn’t until years later that Jordan saw Gatsby again. When Daisy asks her "what Gatsby?" Jordan, half-asleep, describes him. In response. Daisy says

in the strangest voice that it must be the same man she used to know. It wasn’t until then that I connected this Gatsby with the officer in the white car.

It was immediately after Nick learns the history that he hears the song "The Sheik of Araby"—a remarkable coincidence. The dialogue between Nick and Jordan that directly follows the end of the lyrics of the song shows that Fitzgerald’s intent was not to offer a convenient summary of Gatsby’s love for Daisy but for him to expose the reasons Gatsby bought the mansion in West Egg.

“It was a strange coincidence,” I said.

“But it wasn’t a coincidence at all.”

“Why not?"

“Because Gatsby bought that house so that Daisy would be just across the bay.”

Then it had not been just the stars to which he had aspired on that June night. He came alive to me, delivered suddenly from the womb of his purposeless splendor.

It is also a clever bit of metafiction by Fitzgerald; the appearance of the song, while applicable to the situation, is "a strange coincidence."

The lyrics of the song "The Shiek of Araby" from Chapter Four of The Great Gatsby are reflective of Jay Gatsby himself and his idealized and romantic notions of a future relationship with Daisy Buchanan.

With the use of this song from the era of the setting of his novel, Fitzgerald alludes to the hits of Tin Pan Alley, as well as the movie The Sheik of Araby in which the Hollywood idol Rudolph Valentino plays the exotic and romantic lead. Thus, the lyrics of this song represent Gatsby's romantic plans to reconnect with Daisy and lure her into his gilded mansion where he will rekindle their youthful love.

By moving across the bay from Daisy Buchanan, Gatsby hopes to "creep" into the "tent" of her world and seduce her with his wealth and love. Having had Nick arrange a meeting in his cottage, Jay Gatsby later invites Daisy to his home, where he shows her his gilded fixtures and his many colored shirts. Impressed with the opulence of Gatsby's material possessions, Daisy buries her face in his shirts and cries. As he watches Daisy, Gatsby envisions a romantic future with her.

It is earlier in the tea garden of the Plaza Hotel that Jordan Baker narrates the history of Daisy Fay, the most popular young lady of Louisville, Kentucky. She describes her encounter with Daisy and a handsome officer as they sat in her white roadster.

"The officer looked at Daisy...in a way that every young girl wants to be looked at sometime...."

Jordan says that wild rumors circulate about Daisy after this meeting. But during the next autumn Daisy is happy and carefree again, later marrying Tom Buchanan and moving with a "fast crowd."

As they ride in a Victoria through Central Park, Nick and the others hear girls singing, 

Well I'm the Sheik of Araby
Your love belongs to me.... 
The stars that shine above
Will light our way to love
You'll rule this world with me
I'm the sheik of Araby....

Thus the song "The Sheik of Araby" reflects how Jay Gatsby tries to regain Daisy.

Jordan Baker explains Gatsby's earlier life and relationship with Daisy to Nick, and as she reaches the end of the story, they hear girls in Central Park singing the popular song "The Sheik of Araby."

"I'm the Sheik of Araby.
Your love belongs to me.
At night when you're are asleep
Into your tent I’ll creep--"

"It was a strange coincidence," I said.

"But it wasn't a coincidence at all."

"Why not?"

"Gatsby bought that house so that Daisy would be just across the bay."
(Fitzgerald, The Great Gatsby, mrbye.com)

The song is a passing metaphor for Gatsby's feelings for Daisy, and his inability to let her go after she is married and he hasn't seen her for years. Gatsby believes that Daisy's love "belongs to him," and that she is meant to be with him instead of with Tom. As he has become independently wealthy, he believes that he can make her love him again through his reputation and through his money; his efforts to court her through his friends is underhanded, done without Daisy's knowledge, "while she is asleep." This attempt to insert himself into her life -- "creeping into her tent" is ultimately brought to light by their various emotional outbursts and by Tom's suspicions; Gatsby, the "Sheik," cannot be stealthy any longer, and so his original plan to quietly court Daisy fails.