You are saying contradictory things. Your question asks why you want to be depressed, but then you explain that you don’t want to be. This contradiction highlights the conflict between your feelings and your reaction to them. If you wanted to be depressed, there would be no conflict.
The conflict is important to honor as it distinguishes you from the symptoms of depression you are having. YOU don’t want to be sad, but find yourself feeling depressed. This is a different. You are looking for relief from the depression. To accomplish this I’d focus on finding a therapist or psychiatrist to help find the best ways. The ‘Find Help’ tab at the top of this page will help you find someone in your area.