I think Malkmus is referring to the fact that some might see him as cold hearted, or a pig when it comes to women. Anne is a girl who is sad ("don't you cry") because of this, but Malkmus retorts "Don't believe in what they say about me." The first verse would be sung from Anne's perspective. The second is where he explains himself, "My art is not a wide open thing" meaning it's not for everyone and people are going to get him confused.
I think Malkmus is referring to the fact that some might see him as cold hearted, or a pig when it comes to women. Anne is a girl who is sad ("don't you cry") because of this, but Malkmus retorts "Don't believe in what they say about me." The first verse would be sung from Anne's perspective. The second is where he explains himself, "My art is not a wide open thing" meaning it's not for everyone and people are going to get him confused.