Yikes. Change can be a scary word sometimes. We don't know how we'll feel after the change and we're often wondering about it before it even happens. Change is a tricky phenomenon and we get a sense of this in "Fog." Sometimes it's forced upon us and sometimes we may want things to change, even though that might not happen. Still, when change does occur, we're often feeling like our speaker, wondering how it got there in the first place and what will happen once it's gone.
Change is often healthy and necessary. Heck, even Mother Nature seems to think so as she "moves on" in Sandburg's poem.
Change is nothing more than a state of mind. We're always the same in the end, no matter if a fog is falling on our heads or not.