It was released in 1995 as the second single from their third studio album Played on Pepper.

The song became one of the band's biggest international hits.

"That's Why (You Go Away)" was released after the success of the album's first single, "Someday".

The string arrangement of the song was released in the 2014 remastered edition of the album.

It was later released on Michael Learns to Rock's official YouTube account.