It depends on the reason you're going. I personally struggle with anxiety and an attachment disorder, so sometimes I dread going. My feelings about my actual therapist never fluctuate, but to love therapy all the time doesn't seem possible for me individually. It's a lot of work and brings up a lot of anxiety, especially dealing with trauma work.
I'm not necessarily walking on sunshine knowing I'm going to go talk about certain extremely painful and triggering subjects.
Also, if you're extremely depressed, it is pretty impossible to be excited about anything. Especially when it is so bad that therapy sessions are the "highlight" of your week.

Just another perspective...

-Hope