Any reason really, whether it be for story or whatever.
For me...after i read any Trap dojin or hentai i feel a little depressed/saddened but for the completely wrong reasons. Once i finish, depending on how much i liked it, I almost immediately ponder as to why no traps live around me...sigh....To Japan!
Not really that it made me sad,just that it was soul-touching.
y'know, something that's sweet with a sad but satisfying ending, makes you want to do this.
I won't say any vanilla series, because, even though it's sad to see a great story end, it doesn't leave me depressed. More like, leaves me with happy tears.
For depressed...let's just say I got taken by surprise by I Will Protect You, without knowing who it was by, or how it would end.
Like that horrid one where they were all public-use sex slave toilets, practically.
Because in a lot of war-torn and dangerous places, women (and even men, often children too) are used like that and treated sub-humanely. It makes me sick.
I don't like much rape stuff (I may be the only one here). Kinda feeling sad after it. Also forced stuff. But it actually depends on it.
Or NTR stories. Those are for me the mood killer.