Jackie was talking about how he and Jet would secretly go hang out together in the 90's back when Jet was first in Hong Kong and Jackie would show him around. He said he felt weird to be sneaking around with him (they had to do that to keep away from Paparazzi, etc.). Jackie said it felt like they were having a secret affair.
Then Jet said that Jackie and him had the "secret affair" until Jackie realized that Jet liked women and so they had to break up.