Do you want to be 'depressed' or do you want to suffer from Depression - there is a vast difference between the two.
I would sumise from your desire to be 'depressed' that it is the former - as sufferers on here have confirmed, Depression is something to excape from and never return to.
So if you think you feel a sense of comfort from feeling depressed, then you need to look at your life and seriously analyse what you feel is missing that you need to fill with a sense of feeling low.
Find that missing link, and you can get on with your life without hankering to return somewhere bad because it feels comforting for you.
In the mean time, if you wish to post a Question like this, please be very careful to differentiate - a lot of AB'ers are Depression sufferers, and they don't tke kindly to some who appears to be making light of their dreadful illness.
Just a thought for the future.