It's things like relationships, satisfying work, accomplishment. (and many, many more)
Then the real question emerges: How many of those happiness 'sources' are made better by intelligence? What percentage?
Relationships? Seems like no. Work? Also seems like no, lots of work doesn't make use of a high IQ that people enjoy nonetheless. Accomplishment? Strikes me as most likely of the three, but it's also very relative.
And another thought,
Asking why smart people aren't happier is a bit like asking why people who can jump high aren't more empathetic. There's no direct link between the two, you have to dip out to the material conditions. Like: someone who can jump high is fitter > fitter people are healthier > healthier people have more mental time to be empathetic with > people who can jump high are more empathetic. For intelligence, we say smart people are happier. Same thing, happiness is not directly correlated. Instead: Smart people are better able to create the outcomes they want > They select outcomes that make them happy > Their environment makes them happy > Smart people are happier. (These are illustrations of the idea, not actual logical chains or claims.)