Say Goodbye evolved from the song Any Noise/Anti Noise, which debuted on July 6, 1993. The name Any Noise/Anti Noise is derived from an ambiguous lyric in early version of the song. On September 1, 1993, Dave Matthews introduced the song as "Say Goodbye", so it is possible that Dave has always known the song by its current title instead of the fan-given title, "Any Noise/Anti Noise". Since it made its studio debut, the song has been played less often, experiencing a small bump in popularity during the 2005 tour. The band then brought the song back for the 2010 fall tour.
About this song, Dave speaks in his concert at Blue Note (Columbia, Mo - 22 October 1994): "So one time, uh, so one time, I'm stuck in a room, in a little house, and we're kinda snowed in. We got a little fire burning and there's a girl with me, who's a good friend of mine, and we're all alone, and she's got a boyfriend, and I got a girlfriend, but then one thing leads to another, and next day we're all kinda uncomfortable. *Ahem.* So that's, this song's called Say Goodbye"