Depression sets you apart from the world, which is a state the human mind has evolved to find distressing - consequently, some folks deny their depression (even to themselves), to better fit in & to avoid ignorant stigma. From my own experience, it is easy to mentally block out the memory of bad periods, for fear that not doing so, may let them back in.

And although I kick myself for doing so, my regular response to "How are you doing?" remains "Not so bad", even if I'm in the depths of quiet desperation - 99.999% of the time, it's simply easier not to expand further on how I'm actually feeling.