I always thought his SO had asked him to rob a bank because she needed money to pay for her drug habit, and she said “if you loved me, you’d steal the money for me!” and he said “I would do anything for love, but I won’t do that.”
While I realize there is absolutely nothing in the lyrics to support this theory, believing this to be the case has always added a piquant note of desperation to the song and thereby enhanced my enjoyment of it.