Harry is a small-town man; never spent any appreciable time outside of Twin Peaks. What Cooper's talking about--not just the town but the whole world--is bigger than he can even comprehend.

When he'd lost just one piece of his life, he'd skated perilously close to the dark, deep waters of despair. Cooper, too, in his own way. Hollowing out, after Annie left. But--

"I don't know, Coop. But it's better to be alive than dead. Maybe not always--" And Lord, that's one grisly lesson the last few months have taught them, isn't it? "--but nearly always. So long as there's still hope."