Yeah. It turns out one day The Monkees got tired of being nothing but props for a teevee show.
The clip is from The Monkees' movie "HEAD" which begins with them jumping off a bridge. Some critics believe it was a sly homage to Sergio Leone's "Once Upon a Time in the West", which was also released in 1968 and began with Western cinema icons being snuffed as the director's signal that he believed the genre itself was coming to an end. (Those critics are, of course, insane and desperately need to take a year off from film school and get a job hanging drywall.)
The Monkees - Porpoise Song