This is the real crux of the book. We finally find out who Jay Gatsby really is. His parents are poor and shiftless. His whole persona was an adolescent daydream. His money came from crime and illegal activities. Jay Gatsby is an absolute figment of a immature imagination.
This is a difficult chapter to read. As much as we want to admire Jay Gatsby as a romantic figure, we must recognize that he's a total fraud.
If you found out this sort of thing about a close friend of yours, how would you react?