It's a heartbreaking, heartbreak song, and I think everyone can relate to that. You're so in love with this woman and you don't understand, " What am I doing wrong? What am I not giving to you? I'll go as far as putting as putting a bullet in my brain for you, and why can't I get that kind of love in return?"
To burn down is to destroy (by fire). So if we are building love and then burning it down, it means that we sometimes do things correctly and sometimes we do things wrong, so our society is not really advancing to perfection (or at least not fast enough)