In this phrase, "confidence" is related to the verb "to confide (in someone)"... that is, trust and share one's secrets with another. The person you can tell anything to is a confidant (or confidante, f). So when you take someone into your confidence, it means you are sharing secrets or private information with them. Maybe this is not always a good idea, especially if you don't trust the person who wants to tell you something secret: "Don't take me into your confidence!"

also, this is where the word 'con' in 'con man' originates, they (the con man) gains your confidence (your trust) before abusing it. A.

take someone into one's confidence = tell someone one's secrets. it also mean to trust someone example : I took them into my confidence. ............................................................ Trust someone with a secret, as in She took me into her confidence and admitted that she was quitting next month . This idiom uses confidence in the sense of "trust," http://dictionary.reference.com/browse/take+into+one's+confidence

Don't take me into your confidence = Don't tell me your secrets. = Don't confide in me.

It would be too dangerous to take you into my confidence.