This isn't going to go over well but I see his point. I'm not saying it definitely applies to you or to everyone who is unhappy. I know that I seem to do it at times... choose to be unhappy or depressed. It takes me off the hook for doing something I don't want to do or facing something I don't want to face. It isn't the major part of my depression but it's a part of it. I think there can be other reasons for choosing as well.
Maybe one thinks they don't deserve to be happy. I've been guilty of that too.
Maybe there is some twisted comfort or safety in being depressed.
I see so many women who were abused as children. They grow up and are attracted to abusers or choose relationships with abusers. Because it's what they know... what they feel comfortable with.
I don't think this generally applies to situational or clinical depression. I think it has it's own special little niche.