People with depression try their whole lives to change how they feel, and many never succeed. So, implying that changing something they have been dealing with their entire lives is easy can be extremely belittling. It may be difficult for you to fully comprehend if you have never dealt with depression yourself, but their needs are quite different, and what may have worked to fight your passing sadness in the past will not necessarily be effective in coping with their clinical depression.

Alternative: If your intent in asking them why don't they change their feelings is to better understand what they are going through, find a better way to phrase the question, like "what are coping mechanisms that you find useful?" That may be a good way to get people to open up, without feeling compelled to share more information than they are comfortable with. Make sure that the conversation is constructive, instead of feeling like an interrogation or as if the person is doing something wrong.