After watching the "All That Jazz" routine in CHICAGO, I realized there's really two meanings to the lyrics. She's singing about all the great things about her nocturnal lifestyle, like the booze and the music and the nightly brawls, and all that jazz. But she's also celebrating all of the jazz music that's holding it all together.
When I saw the All That Jazz movie based on the life of Bob Fosse, I couldn't make the connection to the song. I found out later that Fosse directed and choreographed a production of CHICAGO in 1975 and "All That Jazz" is the big opening number.