The Weeknd explained to Variety
the song is "about the darkest time" of his entire life, back in 2013-13, during his "rockstar era." He got arrested in Las Vegas, and the sirens you hear at the end of the track is him in the back of the police car.
The Weeknd added: "I wanted to go to Vegas and be this guy again, the 'Heartless
' guy, the drug monster, the person who hates God and is losing his f-ing religion and hating what he looks like when he looks in the mirror so he keeps getting high, and hating to be sober because 'I feel the most lonely when I'm coming down' - that's who this song is."