This is the Software Publisher's description.
As soon as you’re connected to the Internet, applications can potentially send whatever information they want to wherever they want.
Sometimes they do this for good reason, on your explicit request. But often they don’t. Little Snitch allows you to intercept these unwanted connection attempts, and lets you decide how to proceed.
Little Snitch informs you whenever a program attempts to establish an outgoing Internet connection. You can then choose to allow or deny this connection, or define a rule how to handle similar, future connection attempts. This reliably prevents private data from being sent out without your knowledge. Little Snitch runs inconspicuously in the background and it can also detect network related activity of viruses, trojans and other malware.