It depends on what exactly you are talking about. Both of those statements are grammatically correct. "This matter" would be talking about something you are showing or looking at right in front of you. Or a matter that you are already talking about. "That matter" would be something that maybe you had talked about earlier (and don't want to say out loud). It could also be used when a topic comes up that you hadn't been talking about already.

I understand that... "That" is used for something that was mentioned earlier and "This" used for something that will be mentioned. usually "this" used to things we can touch / achieve, "that" to more distant things. "That" is used to resume a term, an idea already mentioned. "This" in turn, introduces a new idea, not yet mentioned.