He broke up for whatever reason and you can do nothing but respect this decision. It does not matter if the cause is alcohol, another woman, falling out of love, discovering he is gay or he prefers trying time solo.
Your pain will not change. You must go through it. Some times there are new circumstances and new beginnings. Perhaps you will meet again in the future and make it work out. He has made a choice that does not involve you. Seek support for yourself if you need it, although I would say it is normal to suffer (a lot) if your fiancee breaks up with you. I would seek help if it becomes obsessive very quickly or if I continue grieving many months after.