To create a private match in Fortnite, your Epic account must have Custom Matchmaking access. Most players do not have this by default. It is usually enabled for approved creators, partners, and tournament organizers.
If you have access, go to the Battle Royale lobby, find the Custom Key box, enter a key, choose a supported mode, and start matchmaking as the host. Share the same key with your friends and make sure everyone uses the same matchmaking region, then they queue after you.
If you do not see the Custom Key box, your account does not have private match access yet.