The rest of Gurney's reply to Paul:
You don’t get it, do you? You don’t really understand the grave nature of what’s happening to us. For 80 years Arrakis belonged to House Harkonnen. Eighty years of owning the spice fields. Can you imagine the wealth? In your eyes, I need to see it in your eyes. You never met Harkonnens before. I have. They are not human. They’re brutal! You have to be ready.
"It" is the coming future - the Harkonnens have a longstanding vendetta against the Atreides, and have just been ousted from an incredibly profitable fiefdom of Arrakis to be replaced by their blood enemies.
House Atreides - including Leto and his senior council (which includes Gurney) fully expect there to be retaliation.
They just underestimate the full extent of it.