There's still a great deal of stigma around any form of mental illness, even mild and transitory depression or anxiety. It's difficult, after centuries of declaring people "mad," to think that one can be mentally ill as one is ordinarily ill - with the mental equivalent of a cold or flu or allergies. I've had to help friends and family with this idea myself.
Yet people eagerly adopt monikers like claustrophobic and OCD, and admit to an irrational fear of heights or spiders. Depressed is a household word, but we are afraid to use its real meaning. It's a strange conundrum.
An interesting historical perspective on madness can be found in Burton's "Anatomy of Melancholy," more specifically the introduction.