If someone uses the phrase entre nous when speaking to you, they're saying that it's confidential, just between you and them. "Our goalie is pretty good, but entre nous, I don't think she's a match for the other team's scorer."
Entre nous is borrowed directly from a French phrase meaning "between us." It's been used in English since the late 1600s. Occasionally, you might see entre nous used as an adjective, either with its literal sense, as in "This is a strictly entre nous conversation," or stretching the basic sense to mean something like "intimate," as in "The restaurant had a cozy, entre nous atmosphere."