‘Freewheeling adventures in intimacy where anything can happen.” So say the words on the seat as we wait for Nick Cave to come on stage and sit in it. Who could resist? The man is here to play songs but also to answer questions. “You can ask me anything,” he promises on his Red Hand Files website, which offers one-to-one correspondence with fans. “There will be no moderator. This will be between you and me. Let’s see what happens.”

The resulting tour is “a work in progress” that has grown from the blog, which had become a series of love letters, meditations on loss, and poetry. Cave is “acting on the intuition that something of value” can come from doing it live. He was worried about something he wrote: that social media undermines “both nuance and connectivity”. Here he is trying to deepen the connection, a word he returns to again and again. He comes on suited and booted, immaculate, the knowing elder statesman, the ex-junkie, the writer of murder ballads and the tenderest love songs, the storm-bringer who will somehow shelter us and reassure us that there can be, in that quaint old-fashioned way, “a dialogue”.

He is part standup, part grief counsellor, part old-time preacher man

I have never seen anything like it. Cave is mordantly funny. What of that thing he said about Tori Amos sequining her nether regions? “I said it because interviews are boring,” he replies, his ego erecting and softening in front of us. He is part standup, part grief counsellor, part old-time preacher man – and an entirely stupendous performer, pacing and communing with the audience, just as he has done at recent ecstatic gigs. He tells us he is “front-row man”, needing to look into the crowd’s eyes to locate what he needs, to find energy to spiral on – the opposite of his good mate Bono, who is “back-row man”, reaching for the back of the crowd.

He prowls as he talks about how atheism is bad for songwriting: “It doesn’t matter whether God exists or not – we must reach as if he does.” He tells a young man who is heartbroken that it will pass. A songwriter who is not successful is advised to persevere. But the audience is tentative and no one asks about his son, Arthur, who died in 2015 at the age of 15 – until Cave himself starts talking about him. About what grief is and what it does. I have sat in bereavement counselling and group therapy myself, and it is rare to hear someone talk so directly about trauma, about what smashes us apart and what puts us back together.

He plays Marc Bolan’s Cosmic Dancer (“Bolan was inventing a new language”) as well as The Mercy Seat, Stagger Lee and Into My Arms. Who should cover his songs? “Elvis.” He does, however, bow down before Leonard Cohen, though it is what Cave says about loss and creation that is astonishing. He has no time for niceties but a lot of time for kindness. Mostly, we live in denial of grief, with the stupid word “closure” bandied round often. I hear the babble about the stages of grief: denial, anger, bargaining, depression, acceptance. It is the categorisation of torture. What is so exceptional is to hear someone talk about being so irrevocably changed by it.

The death of his son has pushed Cave further into fragility, though he is as hard as nails in some ways and more in control of his audience than ever. But he is telling us what the grieving need: compassion not empathy, since empathy means you may become a repository of despair. Compassion means being beside someone, being solid, making tea. He speaks of talking to his son, who is always present. He calls to his audience to bring into being something greater than all of them.

Only a few times in my life have I heard people express grief in such a straightforward way. Once, in a hospital ward where my child was severely ill, two of the eight children on the ward died. The medics gathered us together, the professional distance gone as a hole had appeared in the universe. Children should not die.

Compelling … Cave performing in Barcelona last year. Photograph: Xavi Torrent/WireImage

Then, when my mother was dying, a nurse putting balm on her lips told me we live in parallel worlds in which we are with people who will not be there in the future, but we must live as if they will be. This is how we talk to the dying. Indeed, it is how we talk to the living.

Cave returns to Cohen, who wrote that beautiful letter to his lover Marianne Ihlen when she was dying: “Know that I am so close behind you that if you stretch out your hand, I think you can reach mine.” Cave tells us that, although he had never met him, Cohen emailed him when Arthur died. Agony cannot be ringfenced or denied.

Now Cave performs a kind of public service, acknowledging that bereavement changes us, that no one is shielded from profound pain by fame or talent. CS Lewis said: “No one ever told me that grief felt so like fear.” Cave’s hand sometimes flutters when he talks, as if out of fear. But there is something so raw, so real, in his words and music, and in what he needs to tell us. So unafraid. It is a remarkable affirmation of life. No less, no more.

• Conversations With Nick Cave is at Royal Concert Hall, Nottingham, on 25 June. Then touring.