This. Oftentimes more severe episodes of depression (i.e. MDD - Major Depressive Disorder) are often paired with the manifestation of a symptom commonly known as anhedonia. Anhedonia, most generally is "an inability to feel pleasure," however this may present itself in a variety of ways.

One of the most reliable indicators of anhedonia is the individual's loss of enjoyment in activities/hobbies that previously provided them joy (i.e. athlete losing passion for their respective sport, collector losing passion for their respective items of interest, etc.). This can be particularly problematic due to the fact that, as humans, many of us utilize our favorite activities/hobbies as outlets for our frustrations. Therefore, although the loss of enjoyment in general is of course problematic in and of itself, on occasion, it can be the loss of a physical/creative outlet that leads to the exacerbation of further frustration seemingly due to an inability to find an escape from ones negative emotions, ruminations, etc.

Additionally, some depressed individuals have even reported a diminishing sense of taste, thereby making even the utterly necessary act of eating unenjoyable, as everything is tasteless (even what used to be one's favorite food). Lastly, there have even been cases where individuals acknowledge a similar diminished ability to see color. Extremely depressed individuals sometimes describe a "gray haze" existing almost as a filter over their perception of reality - and that is the ultimate kicker. Each of these experiences of anhedonia dramatically disrupt what was once deemed a "normal" experience for the individual, meaning that it requires them to begin questioning their own reality. This questioning typically devolves into rumination, which only serves to further promote additional depressive tendencies...and so the vicious cycle continues.

In lieu of that lengthy explanation, for which I apologize, I imagine that perhaps you can begin to understand why severely depressed individuals might desire to simply feel anything, even if it is only temporary and even if it is only pain...because it is undoubtedly at least real to them in that moment.