I get "cheer up" too.
Also:
"Is there anything I can do"
"Why not go for a walk"
"You should get some exercise"

These all tell me that you have absolutely no idea......

I think part of the problem is that 'sad' and 'depressed' are often used interchangeably by those who don't have clinical depression. So they don't know that there's a difference.
Even the words we use to rate our depression are also those we use in everyday conversation.

As I have said before, I will email my husband on bad days. It seems to have more of an impact that way. A simple "I'm not doing too well" is usually all it takes for him to understand.