The 55-year-old musician wrote 'The Ballad Of Darren' while touring with Gorillaz last year, and he admits that it was a difficult process.
Speaking to BBC Radio 6 Music, Damon - who shot to stardom as the lead singer of Blur in the 90s - explained: "There was a lot on my mind. But it's OK being lost. It's OK being sad.
"There's a panic that's bestowed on these emotions that I don't think is very helpful.
"Sometimes, if you're lost, it's exciting because you're in a place where you could discover something new. I think it helps [in] writing songs, sometimes."
Blur enjoyed huge success in the 90s and Damon became a figurehead of the Britpop era, when British bands dominated the musical landscape.
Despite this, Damon previously admitted that he "found it difficult" to cope with his Britpop success.
He told the 'Rise And Fall Of Britpop' podcast: "I had a sort of a strange episode when I was walking under the A12. Suddenly it looks like everything you've ever dreamed of is going to come true and I had a real ... call it a panic attack or something like that.
"That reverberated for many years really. It was quite difficult thing to live with, especially as everything ramped up. I found it difficult, if I'm honest."
Blur developed an intense rivalry with Oasis during the Britpop era, and Damon previously admitted to getting "caught up" in the hype.
The chart-topping star also conceded that he couldn't beat his Oasis rival Noel Gallagher "in a war of words".
He told the Guardian newspaper: "We were young and we let ourselves get caught up in it. And the competitiveness was ridiculous for a while, but, you know, I was never gonna beat Noel in a war of words."
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