In-universe, this is the sexual equivalent of the "You do NOT want to know" trope. The implication is that he's been doing something unspeakably kinky and weird to Marla (something which caused her to scream in ecstasy) and no further explanation is given. Notably the incident doesn't appear in either the source book or the shooting script.

Out of universe, this interview with Director David Fincher strongly implies that they (he and Pitt) chose to put the glove into the scene specifically to weird-out the studio executives who'd stipulated that Pitt had to be shirtless twice in the film. Again, no specific sexual act was intimated:

“One of the studio’s issues with the material was how we were going to handle the sex between Marla and Tyler,” says Fincher, whose trade-off for the studio shelling out on Pitt’s dentistry [they paid for the removable cap that ensured Tyler could have a chipped tooth] was that the star would sometimes take his shirt off. He did it twice. One of which was when he opens the door after sex with Marla—wearing a rubber glove. “We had that take starred and sent over to Fox under the guise of, ‘Look! Look how good he looks, he has his shirt off!’” laughs Fincher. “I’ve learned that one way to control people is to give them other things to worry about. If you’re worried that somebody is too fearful you can either try to empower them or you can give them so much to fear that they just don’t want to be around you. Either way you’ve sort of neutralized them!”

In-universe, this is the sexual equivalent of the "You do NOT want to know" trope. The implication is that he's been doing something unspeakably kinky and weird to Marla (something which caused her to scream in ecstasy) and no further explanation is given. You're basically expected to leave it to your own dirty imagination to work it out. 

Notably the incident doesn't appear in either the source book or the shooting script.

Out of universe, this interview with Director David Fincher strongly implies that they (he and Pitt) chose to put the glove into the scene specifically to weird-out the studio executives who'd stipulated that Pitt had to be shirtless twice in the film. Again, no specific sexual act was intimated:

“One of the studio’s issues with the material was how we were going to handle the sex between Marla and Tyler,” says Fincher, whose trade-off for the studio shelling out on Pitt’s dentistry [they paid for the removable cap that ensured Tyler could have a chipped tooth] was that the star would sometimes take his shirt off. He did it twice. One of which was when he opens the door after sex with Marla—wearing a rubber glove. “We had that take starred and sent over to Fox under the guise of, ‘Look! Look how good he looks, he has his shirt off!’” laughs Fincher. “I’ve learned that one way to control people is to give them other things to worry about. If you’re worried that somebody is too fearful you can either try to empower them or you can give them so much to fear that they just don’t want to be around you. Either way you’ve sort of neutralized them!”