*SPOILERS!!!*



Madain Sari on Disc 2:

ZIDANE: "It's okay. Keep singing. 'Cause it's our song, right? I'm surprised you found this place. You got the talent to be a bandit! How 'bout you and me team up? We'll call ourselves 'The Betrothed.'"

I think Zidane said it to flirt with Dagger or to tease her a bit. However, I think he was also the only one in addition to Dagger who had heard the song (he was with Dagger when she sang it on Disc 1), so maybe that's why he called it "their" song.

Also, the ending:

DAGGER: "How did you survive...?
ZIDANE: "I didn't have a choice. I had to live, I wanted to come home to you. So... I sang your song."
DAGGER: "Our song."

Well, it could as well be Zidane who said "Our song" in the end, but I don't think it really matters. Since Zidane kept singing the song to survive and make his way back to Dagger, it's now also his song.