To put that scene in its proper context, you need to take into account two other scenes in the film.
The first scene is this one from about 33 minutes into the runtime, where Fox explains to Wayne that he's developed a technology which makes it possible to map the layout of an environment, using sonar emitted from a cell phone located within that environment.
WAYNE: What's this?
FOX: I had R&D work it up. Sends out a high-frequency pulse... records the response time for mapping an environment.
WAYNE: Sonar. Just like a....
FOX: Submarine, Mr. Wayne. Like a submarine.
The Dark Knight (2008)
The second scene is this one from around 1 hour and 55 minutes into the runtime, where Fox discovers that Wayne has taken this technology and applied it to every cell phone in Gotham, without his knowledge.
BATMAN: Beautiful, isn't it?
FOX: Beautiful. Unethical. Dangerous. You've turned every cell phone in Gotham into a microphone.
BATMAN: And a high-frequency generator-receiver.
FOX: You took my sonar concept and applied it to every phone in the city. With half the city feeding you sonar, you can image all of Gotham.
The Dark Knight (2008)
The scene you're referring to occurs in-between those two other scenes, at about 59 minutes into the runtime.
FOX: Mr. Wayne, did you reassign R&D?
WAYNE: Yeah. Government telecommunications project.
FOX: I wasn't aware we had any government contracts.
WAYNE: Lucius, I'm playing this one pretty close to the chest.
FOX: Fair enough.
The Dark Knight (2008)
Fox has evidently discovered that the R&D department of Wayne Enterprises is working on something he doesn't know about, and wants to know what's going on.
Wayne gives him the vague answer that it's a "government telecommunications project", and says he's "playing this one pretty close to the chest" -- a reference to holding your cards close to your chest in a poker game, so no one else can see what cards you have -- indicating that that he doesn't wish to elaborate any further. Fox accepts this, because Wayne is his boss, but the screenplay notes that he's "troubled" and "uneasy" during this scene.
In reality, Wayne almost certainly had R&D working on scaling up the sonar mapping tech, but he didn't want to tell Fox about that yet, because he knew Fox would be opposed to it on ethical grounds.