According to an interview with The New York Times, Rian Johsnon was asked what is meant by "The Last Jedi":
It’s in the opening crawl of The Force Awakens. Luke Skywalker, right now, is the last Jedi. There’s always wiggle room in these movies — everything is from a certain point of view — but coming into our story, he is the actual last of the Jedi. And he’s removed himself and is alone on this island, for reasons unknown.