Robyn said that “Set Me Free”, like the rest of the Love is Free album, is about giving up control.

‘Set Me Free’ is about that scary point where you’re at the edge, facing something that you think is gonna be… is gonna kill you, even. Then of course, that whole aspect of the album became even more potent when Christian was in a situation that was scary for real. But even before we knew he was sick, we were inspired by his lust for life. Like when your life becomes a video game, and you’re excited by what you’re doing, because you’re not scared of it. But life is not a video game. Maybe that’s why video games are so fun. Because it’s an illusion of control.

Source: FACT Interview