This phrase implies a high level of trust and a close personal or professional relationship. I am in her confidence; she tells me things she wouldn't tell anyone else.
Pro Tip 2/3
Privacy Importance
Use it to show that private information is being safeguarded and respected. Since you're in my confidence, I expect this conversation to remain between us.
Pro Tip 3/3
Selectivity
It indicates selectiveness in sharing information, not everyone is granted this privilege. Only his closest advisors are in his confidence on state matters.