Using the metaphor for "making love" as "dancing", the song is about a girl who's insecure about her body and insists on making love in the dark so that he can't see it.
The lyrics "she looks good but her boyfriend says she's a mess / now the girl is stressed" and "she looks good but her boyfriend says she's a tramp/vamp / but she still kills the dance" suggest that the girls' insecurities spawn from her partner, saying that she actually does "look good", but her boyfriend tells her otherwise, causing her to develop insecurities.
When The Fame Monster was released, Gaga stated that each song related to a particular "monster", or "fear", such as "fear of love, fear of men, fear of death", etc. Although she's established Dance in the Dark as the "fear of sex" monster, I think it also really implies "fear of death" (which she said was "Speechless") during the breakdown where she mentions young female icons such as Marilyn Monroe, Judy Garland, Sylvia Plath, JonBenét Ramsey, and Princess Diana, all of which met tragic fates and extremely young ages during the prime of their fame, which must have certainly stroke a chord with 24 year old Lady Gaga who was also becoming one of the world's biggest superstars at the time this was written/recorded.
