The text is obviously ambiguous, but I think you could make an argument that the song is about rejecting the romantic feelings of someone else.
The lyrics begin with the line "I always thought you were a friend of mine." However, the lyrics also make it clear that something happened that damaged their relationship: the narrator says "Sometimes I think about you / I wonder how you're doing now / And what you're going through" which makes it clear that the narrator and the friend haven't seen each other in a while. What could have caused the estrangement?
The lyrics heavily imply that that the last time the narrator and the friend were together, they had a romantic encounter. This obviously is implied with the phrase "We were loaded with passion and a burning desire." But I think the more revealing passage comes from near the end of the song:
Here in this fragmented world, I still believe
In learning how to give love, and how to receive it
And I would not be among those who abuse this privilege
Having a romantic encounter that ended the relationship? Talking about how it's important to not only "give love" but also "receive it"? It seems plausible to me that this is about a friendship where one person wanted a friendship, the other person wanted a romantic relationship, and the conflict between the two caused the relationship to end (the last time they saw each other was during the romantic encounter).
The narrator is thankful: in the fifth verse the narrator notes that they have "family and friends," "satisfying work," and "a back that bends". Conspicuously absent from that list is any mention of a romantic relationship.
The thankfulness seems to stem from learning to accept things as they are, even if that means that they don't get everything that they want. The narrator notes that "an angry man / Can only get so far / Until he reconciles the way he thinks things ought to be / With the way things are," which implies that the narrator is trying to accept that the relationship won't happen and to try and be thankful for the things that have happened--the narrators friends, family, etc. Hence the title of the song: the narrator is trying to be thankful for everything even though one thing didn't work out. And hence the final verse of the song, where the narrator expresses thankfulness for not only "every breath [and] every day of living" but also "for everything that broke my heart." They want to move on and avoid fixating on this one event.