I think when you're used to feeling a certain way, be it depressed, anxious, flat, whatever the case may be, it may not feel "good" but it feels comfortable. You know how to handle it because it's your default mode. You can see this in people without mental health issues staying in a bad job situation or a bad relationship for the same reason. They aren't fulfilled in this situation but there isn't the same kind of "pressure" as you face with the unknown.