It can't; it's us that perceive it that way. This is how we can explain the so-called "objective" perspective (there's no objective perspective in human thinking, if you ask me) and how one event can affect someone very much, when the same event would leave someone else emotionally idle.
It all depends on your personal boundaries and the way you've learned to deal with things -if you haven't, you will feel helpless, and by extension, this feeling will make you feel "depressed"-.
Depression is a clinical term, it should be avoided in everyday labeling of people's emotional states. There's also "melancholy"; prefer that one instead.