Walter Mitty copes with the mundane, monotonous, and oppressive aspects of his reality by retreating into his vivid daydreams. These fantasies allow him to become heroic, expressing his unfulfilled desires for adventure, courage, and self-discovery. The theme of escapism raises questions about the significance of imagination in providing solace and respite from the challenges of daily life.

By escaping into his imaginative world, Mitty mentally distances himself from reality, and his surroundings become a mere background to his daydreams. Thurber suggests that we each can live multiple lives in this fashion, which even Mitty understands.

We only live once, Searegent," said Mitty, with his faint, fleeting smile. "Or do we?

The ambiguity of his question, "Or do we?" suggests that Mitty's imaginative worlds allow him to escape the limitations of reality and explore different aspects of himself, essentially living multiple lives.