Because a sign of depression is when you no longer enjoy doing the things that you used to. And when you are depressed, you just want to be comforted. Sex often takes you out of that comfortzone and leaves you vulnerable - a situation you are able to overcome when you are with a person you love and trust.
But when you are depressed, it really feels like you are opening up a vulnerable part of yourself.
Not sure how much sense that made, but that's from my experience