It's telling us that, we should pray to God with our heart only, not by displaying it to the public that we are conversing with our heavenly father.
We can actually do this by praying with our heart, our mind and our soul, we can do this anywhere while walking, while working, while doing our daily activities without displaying it to the public to see.
It is telling us that our God is in secret, so we should communicate with him in spirit and in secret, that's why he said enter into your closet. And moreover, only our God sees what happens in the secret, what we say in our heart and in the spirit, Satan do not see what happens in the secret.
He wanted us to focus on him alone, he wanted us to communicate with him alone not involving the public or Satan, he wants our conversation to be between him and us. He loves us so much and He's always ready to answer our prayers whenever we call on him.