To create a private event you can toggle the link sharing options.
When creating your event, in the Design step, you will have the following options:
Simply toggle both share buttons off!
The first Share Button allows you to share the live event link before the live starts:
The second Share Button is to share the link during the live:
NOTE: At the moment, there is no way of creating a strictly private access to a Live Event or restricting users from accessing it.