Just my opinion, but I think it is a way , or a medium which you can get those feelings out and so you might find that you need to listen to sad/depressing music that YOU yourself can connect with what your feeling.
Where as a happy song is more there to uplift a person, so yes it does make sense in one way to listen to “happy music”.
But such a thing is also relative to the person I believe. I love heavy metal and dark songs. I often listen to it to be happy and whenever I feel like it. Another person might listen to it and go “WOW that’s all screaming and angry music, devil music” or something along those lines.
A good example I think maybe is think about going to a friend,family member, or even a therapist and you are talking to get things of your chest as to not be sad/depressed.
Ask yourself do you feel any better than you did before IN THAT MOMENT of talking,thinking,explaining,etc….about being sad/depressed? Most likely not infact you may very well break down MORE but its because you are getting them and bringing them up.
Because IN THAT MOMENT of listening to music, which to me is like communication there information being sent there and if the music is making you bring up sad/depressed feelings it’s not to surprising I think. So it can be similar to what I said before, like talking.
In the end I think you will feel better. But if it worsens maybe you have a serious issue here?
Again its just my opinion, I do not have anything creditable to back me up…..
An ending note here, remember every person is different what one does, or what works for one person may not for the other. Simple as that.