Clearly, in answering this question, you need to refer to the presentation of the knight in this poem, and in particular how he feels after being left alone by the mysterious lady that gave him every indication that she felt the same way about him as he did about her. In this sense, the poem captures the universal theme of unrequited love, or love that is expressed towards someone else and not returned.
Notice how the poem ends in the final stanza, and the kind of justification that the knight gives for his presence in such bleak place at such a inhospitable time of year:
And this is why I sojourn here
Alone and palely loitering,
Though the sedge is withered from the lake,
And no birds sing.
The sickened and ailing knight is obviously coping with several emotions, such as desolation, loss, despair and embarrassment at having been taken in so easily by the fairy maid that managed to enchant him without hardly any effort at all. The setting of the approaching winter seems to parallel his own feelings of bleak desolation and emptiness as he struggles to get over this relationship.