Stupidest, most infuriating question in the world!!! One of the primary reasons I don't share this with people IRL. If I knew why, I could either 'fix' it or prevent it, or at least not feel so messed up about it. This is the kind of question you get from people who equate depression with feeling really, really sad. They know that when they get sad, there's a reason...so what's our reason? Very nearly the worst thing I can be asked when I'm in a depressive episode.
So sorry you had to deal with that.