I too have difficulty expressing my sadness in therapy. I have cried a few times (all out crying) but there are many times I hold it all in. My therapist is very patient and let's me know it is safe to let the feelings out with her. I do know that if I am vulnerable and I ask her to hug me at the end of a session sometimes her holding me close and talking to me allows me to feel safe and I am able to cry. The release of those sad feelings is something I need to allow myself to do.