I know what you mean. I think this has to do with our depressed thinking. For example, perhaps some of us feel that we don't deserve to be happy. Or perhaps, after a while we become so accustomed to feeling depressed that there is a kind of perverse comfort in "the devil we know". And sometimes if I've been feeling good, I start to get anxious because I know the good feelings can't last and I dread the fall back into depression again (whereas if I'm depressed anyway, there isn't so far to fall).

At any rate, I can relate to this!