Well ,for some reason, we expect depressed people to simply have some switch that they can switch on and off and control how they feel. You don't tell a grieving person STOP feeling sad. You don't tell a happy person to be less happy. You can't control how you feel. However, you can control what you choose to do with those feelings. The feelings themselves aren't the problem per se but learning how to deal with and manage those feelings.
You may feel angry but you can break a few chairs or you can learn to control your anger. I think the approach to somehow eliminate the feelings of depression isn't always the best approach. Some people do try to do so through medication or substance abuse. But, unfeeling can be a worse sentence than feeling. And, yes , medication may be helpful so I don't knock that in anyway. But, I think it has to be a two pronged attack. If you take medication, I think you still also have to do the work of learning to manage it.
I can understand why people believe that.
But please take a moment to try and consider the extent of how much we we can actually control how we feel.
Just try to consider that our minds are more powerful than most give them credit for. That we can combat anger at Will, that we can combat sadness, or pain, or depression, merely by controlling how we think, choosing how to feel, and truly believing that we do have the power to control how we feel.... that even feelings like happiness, pleasure, and love can be conquered with Willpower, and the powers of thought, and choice, and belief.
Consider why we really feel the things we feel, and how those things are influenced by what we choose to think, and our choices and decisions that are carried out not with the body, but with the mind.