Nothing wrong with being depressed when your club or national NT loses.
You follow your team from day 1, and you invest your time, passion, and many times money (Merchandise, match tickets, etc), it is only normal you'd feel upset.
One of my friends is a die hard Gooner, her bf is a die hard Liverpool fan. She didn't talk to him for 2 weeks after Liverpool beat Arsenal in the CL. Funniest thing ever, but then again, I understand it, and he didn't blame her either for it.
When you know your football, you understand it's passion. All clubs we support have a little something we can relate to, something we can call our own. If it's for it's past, your hometown, the area, political allignment or whatever. People connect to it.
That is what's hard for North American sports like hockey or baseball (with exceptions in certain teams) clubs, they get sold and bought over and over again. You have no stability. Also, they don't seem very passionnate (with exceptions once again)
It's something I fear many people can't understand.