There are some good ideas at Song Meanings about what this song means. One of them talks about "the realization of love and backing out from it once the realization is found", which looks compelling. I'm quoting that post here for completeness, but you can check out all the comments in the link, it's quite good.
My thought is that this song is basically about the realization of love and backing out from it once that realization is found. I think it touches on those consequences of backing out of love as well.
The “story” if you will, really begins in the third line, “She came, she came with sterile warning”. This indicates that a woman/girl came into his life. As this figure enters his life, he is aware of what could happen. He could fall in love.
The chorus is where the realization that he has fallen in love is discovered. It’s happens while watching a movie called, “Double Suicide”. This movie actually exists, and the movies plot has a lot to do with the song. In the movie, there is a “double suicide” at the end. The circumstances in the movie are very similar to that of Romeo and Juliet, however in “Double Suicide” they actually plan the suicide at the end, it doesn’t happen tragically. So, in the song, “Singing, I want to make you bleed” is essentially this idea that they will be together in love. In the movie, death was the only option for the love to last. He essentially is comparing his situation to that in the movie.
So, he decides that it isn’t worth it, to die over love. This thought is further supported with the fact that he has listened to too many of his albums, which for the most part implore the hurt, and loss of love. He ends the relationship saying, “I’m wasting my breath, we’re wasting our time”. I would imagine that at this point she slaps him (probably a backhand) at the absolute disgust she has for the situation and for him. Thus, he falls painfully to his knees.
His friends had told him from the beginning, he “had hell to pay” for entering into this relationship. Whether it be falling in love, or the departure from that feeling. And at this point after breaking up, those words are reassurance to him that he did the right thing.
He came close to heaven by being in love, but couldn’t justify it in the end so he walked away from it. At this point, we have to revisit the beginning of the song. He’s not sure how walking away feels (line 1), but it hurts. Hence, the description of the knife in lines 2 and 3.
The fact that the lyrics at the beginning of the song are actually the end feelings probably signal some type of circular idea to his thoughts on this subject. Having the situation run over and over in his mind and not coming up with any viable answers to his pain.