Unless someone else has dealt with depression on their own or with someone close to them already, then it isn't fair to expect them to know exactly the right thing to say to you. It's surprising to hear, because a lot of the time we hide our depression well, or people think it's something else.

At least no one has lied to you; they've considered you a good enough friend to confess that they don't know what to say. That's a fairly large risk for your friends to take - because people fairly commonly react just like you have, by rejecting them back for not knowing.

Try talking to them about what you experience as part of your depression. They might be scared and worried for you, and not know what to do to not make things worse. You have had a lot of time to adjust to the fact that you're depressed (unfortunately!) because you live with your mind and emotions. They don't, and I'm willing to bet that you've done your best to hide it from them They might even feel a bit guilty and think that they haven't been a good enough friend to you and might have already made it worse.

Try giving them a chance. They're your friends. It isn't fair to them to kick them out of your life because they gave you an honest answer. Very few people know how to respond to someone disclosing something so personal and scary.