The quote appears near the end of chapter six.  In this chapter, Krakauer includes a long and impassioned letter from McCandless to Ronald Franz.  The quote is in the third paragraph of that letter.  

The entire letter is distinctly different than everything else the book includes that is written by McCandless.  McCandless lives a very minimalist life.  The things he writes also reflect that.  Krakauer includes some of McCandless's journal excerpts, and some entries are not even complete sentences.  That's why it is shocking to read McCandless's impassioned letter to Franz.  It's well written with diverse vocabulary, and it is emotional.   The entire letter is essentially one big encouragement to Franz to leave his sedentary life and mimic McCandless's wandering life style.  McCandless claims that having a constantly changing horizon is the only way for a person to feel alive.  

The joy of life comes from our encounters with new experiences, and hence there is no greater joy than to have an endlessly changing horizon, for each day to have a new and different sun.

Amazingly, Franz takes McCandless's advice.  At the age of 81, Franz sells his possessions and buys a vehicle to bum around the desert in.  

This quote comes from Chapter Six, from a letter that Chris McCandless wrote to Ron Franz. In the letter, Chris outlines some of his feelings about society and about how societal expectations play a role in defining a person's life. Chris thought that people should push back against expectations and challenge themselves instead of remaining in an unhappy life that is easier than change. The full quote reads:

So many people live within unhappy circumstances and yet will not take the initiative to change their situation because they are conditioned to a life of security, conformity, and conservatism, all of which may appear to give one peace of mind, but in reality nothing is more damaging to the adventurous spirit within a man than a secure future.
(Krakauer, Into the Wild, Amazon.com)

This shows how Chris thought of the common "American Dream," in which people strive to education and employment, a family, a home, and then a dignified funeral. Instead of what he saw as commonplace desires, Chris wanted to prove himself against nature itself, and so stretch his personal horizons and boundaries. Without that challenge, he thought, he would turn out just like everyone else, fighting a society and system that worked to keep individuals confined to their societal roles.