It seems like a song about falling in love with the idea of falling in love, rather than the actual person- or falling for them physically, but not making that emotional leap. "Shot down"= rejected. It's a figure of speech. The speaker is feeling blue because what they are doing to find love isn't working, since they're going about it wrong.
It seems like a song about falling in love with the idea of falling in love, rather than the actual person- or falling for them physically, but not making that emotional leap. "Shot down"= rejected. It's a figure of speech. The speaker is feeling blue because what they are doing to find love isn't working, since they're going about it wrong.