Lyric discussion by NATE808 

Cover art for Had a Dad lyrics by Jane's Addiction

It's about feeling abandoned by god, and being disillusioned by this, rather than "God is dead". The phrase "Gone away" is repeated throughout the song, clearly suggesting that god has made a choice. The lyrics quote Nietsze, but then immediately contradict the quote ("He's not dead at all").

You've misheard the lyrics - it's not "He's not dead at all", it's "He's not there at all".