for a long time I was functioning, but still clinically depressed. I had grown up in an environment where not functioning was just not an option. I still felt like **** though, and met the criteria for depression. When I was finally out of that environment, the crash happened. I think there are relatively few people who actaully "enjoy" being sad. There may be a measure of comfort in it, but the negatives generally out-weigh the positives of living a life "wollowing in self-pity"...
As Rohag suggested, maybe bring this up with your doctor?