Jordan is remarking on the paradox that at a large party, it's possible to have a private conversation with someone without its being considered rude or unusual. The larger the party, the more people huddle in small groups of two, three, or four people, each group having its own separate conversation. So it's possible to talk with one or two people intimately without others thinking that it's anything out of the ordinary.
In a small party, say six or seven people, the conversation is general. It is not possible to talk privately or intimately with one or two other people, as others will notice, probably overhear, and certainly consider it odd. That is why Jordan says, "At small parties there isn’t any privacy.”
To give an example: I have met a total stranger during a large party, talked solely with that person for about half an hour, and concluded the conversation by arranging to meet him elsewhere later to continue our very interesting encounter. Because there were around 30 other people at the party, nobody particularly noticed that he and I were spending a fair bit of time in conversation together—everybody was in one little group or another. The fact that it was a large party meant that we could talk privately.
I could not have had such a conversation with said stranger if there were only a handful of other people at the party. The conversation would never have gotten intimate enough. Everybody would be participating in a single conversation.