Everyone has a song they put on when they're sad. Everyone. I don't care who you are. If you're alive and kicking, you've got a sad song.
Maybe it was from a bad break-up. Maybe you've just lost someone special to you. Perhaps the family dog ran away. And maybe you just had crappy day. Regardless of the cause, you have that song you use for that special sad occasion. For many of us, we have different songs for different things and different moods.
