The song is about depression and contemplating suicide. The lyrics, "Now the red ones make me fly, and the blue ones help me fall" may refer to antidepressants or other drugs ("Reds & Blues" in particular is drug slang for the color of commonly abused amphetamine & barbiturate pills respectively, uppers & downers). According to lead vocalist Gerard Way, "This song is about suicide - don't do it."
The band stated in their 2006 Life on The Murder Scene documentary that the song had been originally conceived as a joke and was not going to be developed for the album. However, in realizing the potential and challenge the song would present to the band artistically, it eventually made the album. Gerard expressed that the group needed the challenge to prove that they could succeed as a band. Frank stated in this interview that it was his favorite song to play live (2006).