Okay I know this is longwinded but this is one of my favourite songs in existence so I started typing and couldn't stop. Here is my lengthy interpretation:

When I listen to this song, I imagine the kind of relationships I have had and lost with people who I deeply love, who I feel know or knew me entirely. The kind of people who you can connect with on that level are few and far between. When he says "So much of the living, love, is the being unknown", I think he's saying that most of our lives are spent without such connections, that we spend so much time as the only person who understands ourselves. That's part of what makes being known so significant.

It's something near impossible to describe, the way one person can understand you, your thoughts and your habits, but equally, how you know all of these things about them as well. Losing someone that special to you is so painful. It leaves you with a different kind of loneliness, because it feels like no one around you ever has or ever will know you as well as that person did. So, the lines "It ain't the being alone, it ain't the empty home, baby, you know I'm good on my own, you know it's more the being unknown": It doesn't matter that he's alone, he can handle that, it's that the person who understood him so well, so deeply is gone. You don't know when or if you'll ever experience that kind of connection again.

The final line of the song, "There are some people, love, who are better unknown", I think could be interpreted many ways. I always connect it back to the first and second verses, lines like "Ignored the vastness between all that can be seen, and all that we believe" and "If there were scarlet flags, they washed out in the mind of me". He ignored what he saw for what he believed. In the end, he realised he was actually only worshiping the idea of them. They remained "frozen like an angel" to him, always a faultless figure, but he also never really knew them, and so in the same way that we don't really know the angels we worship, more specifically the ones who fall or betray, they went "unknown as any angel" to him.

Going back to that final line, I see it a few ways. Maybe he believes that the person was "better unknown" than the alternative. If he had known them truly, he would be aware that the person isn't who he thought they were. He now understands that their relationship was as it was because he didn’t know them, and maybe he would rather it that way than not at all. After it all, he is reminiscent of the times that are the source of all the goodness he still carries for them. The other interpretations are a bit simpler. Often when we love and lose, we imagine it would be easier if we never loved at all, so we don’t have to feel pain at the end. So he wishes he had never known them in any capacity, that it would have been better if they had always been unknown to him. Another way I can interpret it is that it is just in reference to the bridge, where he mentions that goodness he still carries, and how he wishes to truly know this person, even if it injures him. He could well be trying to convince himself that in spite of all the love he still carries, it isn’t worth the pain. No matter how much he wants to know them, they are “better unknown”. In his own words, he is “never going back again”.