Before he realized that it wasn’t the appropriate reply
The word “affair” could possibly trigger guilt in Daisy, for in being here, she is on the verge of herself having an affair. Also, refusing to say what business one is in sounds extremely suspicious. Gatsby tries to display himself as a very proper gentleman, and usually picks his words with care. This slip shows that he obviously isn’t used to talking about what he actually does, and is very protective of whatever it is.
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