Paul is enamored of the music he hears at the concert.  It transports him to a different world, a utopia of beauty and excitement.  He actually follows the German soloist home, imagining as he does that he can become part of her world, entering "an exotic, tropical world of shiny, glistening surfaces and basking ease." 

When she goes inside, however, Paul heads back home, to a place that is familiar and disappointing.  It is his reality, and he is unsatisfied with it, leaving him feeling so wretched.  Cather is portraying here the draw of dreams, and in particular the American Dream.  She will develop her story to show the trap it can create, causing some to become discontent due to  unrealistic expectations.