He's having an affair, but he knows it's wrong. If his girlfriend/wife/etc found out about the other woman, it would hurt her very badly, and he at least loves her enough to want to prevent that. The song is more about his wanting to end the affair. He keeps saying he will stop, but then he keeps running to her because he needs her, giving her up would hurt him very badly too.
Love this song...
He's having an affair, but he knows it's wrong. If his girlfriend/wife/etc found out about the other woman, it would hurt her very badly, and he at least loves her enough to want to prevent that. The song is more about his wanting to end the affair. He keeps saying he will stop, but then he keeps running to her because he needs her, giving her up would hurt him very badly too.