Create a confidential project

Of course, it is default behavior.
Almost all profiles will only give access to a project for users that are allocated to the project.
Only Administrator and Supervisor profiles have access to all projects.
You can :
 - avoid using Administrator and Supervisor profiles for default profile of users
 - change acces mode so that these profiles cannot see all projects data
 - manually allocate these users to confidential projects with a profile that has no visibility (guest or new profile that has no access at all)