Apparently....

I think it's about just leaving your old life in favor of a new one, hence the line "How good it felt to killt he memory of nights spent holding the shirt for the smell, I heard you used o cry when you made love to him, but this band will play on..." kind of leaving the desperation of trying to belong to someone and something and just be yourself (This band will play on, because all we can do is what we've always done)