I'm not surprised. Benzos are considered depressants because they slow down the CNS. Of course a slowed down CNS doesn't imply that you'll automatically get depressed, but it that implies that there is always the possibility of getting depressed on them.

FWIW, I've found Klonopin to be really nice. Never had issues with it, other than drowsiness. However, it interacts with my Ritalin (i.e., the two meds basically cancel each other out), so I don't like to take the Klonopin when I take my Ritalin.

IIRC, Klonopin works by blocking neural pathways involved with stimulation, while Xanax works on neural pathways associated with sleep. I'm guessing that's why you're always so sleepy on Xanax.