There's no reason small children should feel comforted by a stuffed animal, but they do, and it can provide an experience very much like human contact for them.
I went through several bouts of extreme depression, and I might only be alive because I discovered the joy of breaking ceramic plates. I have no idea why the destruction of dinnerware gives me so much joy, but if things ever get too much for me, I just go to target and buy a few dozen dishes. I then take them to my local dump, which has a cement cliff you throw your trash over into the pit. I toss the plates like frisbees, and watch them sale 20 or 30 feet to the cement floor. When they crash they make a tremendous noise, like when a server accidentally drops a bunch of dishes in the kitchen at a restaurant. Except out at the dump the sound is much much louder and cleaner. Sometimes I throw one plate up really high like a clay pigeon and try to hit it with a second plate, which I only have a couple times. I've probably wasted several thousand dollars doing this.
The point of my long ramble is that strange things can save you from depression. There is no reason a chat bot can't work for some people.