All right, so we need to determine theme. An easy way to think about theme is to answer this question: What statement about the world is the speaker of the poem sending to the reader. If you can answer that, you've got your theme.
Let's analyze the poem a bit. Although the speaker doesn't directly say it, through a little bit of inferencing we can tell that the first two stanzas suggest two different suicide attempts, one by drowning, one by leaping off a building. However, the italicized verses below each of these stanzas indicate some fears and/or excuses why the speaker didn't follow through on his plan: "It was cold!" (9), "It was high!" (18). We sense that the speaker may not actually kill himself after all. The third stanze tells us why:
I could've died for love--
But for livin' I was born
Though you may hear me holler,
And you may see me cry--
I'll be dogged, sweet baby,
If you gonna see me die.
Life is fine! Fine as wine! Life is fine!
Here, the final impact and message (and, hence, theme) is revealed. The speaker tells us that, while he could've killed himself "for love" (I'm assuming a failed relationship or the death of a lover), he says that he knows he was born "for livin'" and we'll be "dogged" if we're going to see him actually kill himself. Why? Because "life is fine." If we simplify that into one statement, we'll have a theme.
I'd go with something like this: While pain does exist and may lead to desperate thoughts, our purpose on earth is to live the fine, beautiful life we've been given. The speaker states this most clearly in the verses "I could've died for love/but for livin' I was born" (21-22).