I've been coming back to this lyric a lot lately. It's an interesting thought. In the context of the song, I'm pretty sure it means "Don't chase ideas, thoughts, or beliefs with no evidence for them."
At the same time, it has struck me as referring to living within reality rather than within my own mind. There is so much that I "know" but that has no real relevance or bearing on what I do from day to day. Of course this doesn't mean I should disregard all information that is not immediately relevant to my "day to day" life, but perhaps should simply try to live more in awareness of the current moment.
Of course maybe writing a blog about this very thing is somewhat contradictory in itself. At this point, however, erasing all of what I just wrote will not get back the time I spent writing it, and is itself an attempted denial of reality. So I'll just hit the "Publish Post" button.