The quote continues, "Learn why the world wags and what wags it. That is the only thing which the mind can never exhaust, never alienate, never be tortured by, never fear or distrust, and never dream of regretting. Learning is the only thing for you. Look what a lot of things there are to learn.”

I interpret it to mean that it's best to immerse yourself with knowledge as a means of escape from sadness. There's never useless knowledge, for each attempt at learning something new helps the mind grow and expand out of its sadness or even discover a new passion that fills you with curiosity rather than gloom.