Jesus doesn't mean that we should literally go into a closet to pray, but that true prayer is a private thing between you and God. When you pray in public, you are seeking the approval of men, not God and you will get the approval of men, not God. Are you listening Tebow fans?  Of course, it is appropriate to pray with others when you are all praying together as a group, but not when you are praying alone to impress others with your piety, which is an egotistical thing to do and therefore not pious at all.