Peter: How are you doing?
Mary-Jane: I'm fine. You?
Peter: Not bad.
Peter: last time we talked you told me something that really intrigued me
Mary-Jane: ...
Peter: you said that no guy so far understood your sexual fantasies 
Mary-Jane: Sad but true 
Peter: What kind of fantasies are those?
Peter: If I may ask....
Mary-Jane: Peter, you are a good friend
Mary-Jane: But I'd like to keep it to myself and my sex partners
Peter: No worries
Peter: I was just curious
Peter: I also have some fantasies that are not understood
Peter: So when you told me that 
Peter: I thought I could relate
Mary-Jane: I know
Mary-Jane: It is really frustrating
Mary-Jane: But maybe one day we will find the right person :-)
Mary-Jane feels that none of her sexual partners has understood her fantasies. Peter asks her about those fantasies, as he feels he could relate to the feeling. Mary-Jane would rather keep the specifics to herself.