He had the feeling he should be somewhere else

Milo: I heard this story once when I was a kid, or read it. It was about a storyteller who was so good at telling stories that everything he made up became real. So the storyteller creates a world for himself where he's the king of the castle, has a beautiful princess on his arm. And then, one day, he wakes up. He looks around. He kisses her on the cheek and... legs it.
Dan: Why?
Milo: I don't know. Even though his life was perfect, absolutely perfect, he had the feeling he should be somewhere else. With someone else. Anyway, the princess wakes up and he's gone. And that's it. I guess. Does that make any sense?