In a press release, Finneas explains:

This song is about trying (and failing) to convince yourself that you’re over someone. Remembering all your absolute favorite things about them and pretending they mean nothing to you now. I wrote it on a toy guitar in a hotel in New York while we were on tour this summer. Just a lil indie movie darling.

In an interview with Ones to Watch, Finneas revealed:

When I was writing “I Don’t Miss You At All,” I was excited to play it for Claudia, and I was like this is a weird song. This song is about a past relationship, but not one that I’ve had, and I’m kind of describing you but we haven’t broken up. I was like, ‘This is a little bit like a fake song where you’re playing the role of the girl. Like I talk about the perfume you wear and the color of your eyes and stuff but it’s obviously this fictitious thing.’ Which I think is a fun way to write songs.

Before its release, a fan on Twitter asked Finneas to reveal some of the lyrics from his EP, of which he shared a line from “I Don’t Miss You At All:”