This song is not about Jesus. It's about a man who came to power and everyone sang his praises after he ascended the throne. Then the power corrupted him and he tried to conquer the world under the banner of war - like a Hitler, Napoleon, or Caesar.
At some point later in life when he retired to obscurity, his plans all failed, he realized he was going to go to hell for what he did and he was commenting on how lonely, empty, and meaningless his life was as king.
You can have the world, but you can't take it with you.