The title and chorus reference the aphorism, "Better the devil you know than the devil you don't," which refers to people's tendency to stick with what's familiar and routine to them, no matter how bad or unsatisfying, rather than risking a change towards the unfamiliar and whatever unknown, new "devils" that could bring. "The devil you know is the only one" means that there's nothing to fear in risking the unknown if your life already seems bad enough that it may as well be ruled by a devil, however familiar and predictable his ways; there is no worse devil than the one you've already been dealing with for too long.
The title and chorus reference the aphorism, "Better the devil you know than the devil you don't," which refers to people's tendency to stick with what's familiar and routine to them, no matter how bad or unsatisfying, rather than risking a change towards the unfamiliar and whatever unknown, new "devils" that could bring. "The devil you know is the only one" means that there's nothing to fear in risking the unknown if your life already seems bad enough that it may as well be ruled by a devil, however familiar and predictable his ways; there is no worse devil than the one you've already been dealing with for too long.