But it's too late to say you're sorrythe "there" in "She's not there" is sung to a G#. To some degree, that change in tonality musically represents the absence.
How would I know, why should I care
Please don't bother trying to find her
She's not there
I also noticed that the bass part before second "Well, no one told me about her..." section (at about (0:47) starts with the same five notes as the vocal melody:
In a couple interviews, Rod Argent's said that he often wrote the bass parts for his songs (I think he's even mentioned the bass part of "She's Not There" specifically), and this is a great example of how - because of that - the various parts are closely related.