I'm not sure if it's weird, but if it is I'm guilty of it too!
Maybe because it's nice for me to be able to relate with something that understands what I'm going through? Because I don't like talking to anybody about how I'm feeling so the music is sometimes a good substitute.

However, for me it's a negative coping mechanism because the negative feelings just stay longer and longer. So when I have the strength, I PURPOSELY switch to positive or even neutral music to rid myself of negative thoughts/feelings.