Depression and feeling sad over sad things aren't the same thing. A lot of people who experience depression may not realize that their feelings go beyond just feeling blue sometimes. Really sounds like the doctor is right to raise this as a potential issue.
This is the opposite side of the "wowthanksimcured" hashtag/subreddit/topic that was popular about 10 years ago. These feelings don't always have an objectively rational cause. Which also means that if there's some kind of medical cause or intervention necessary, screening for it is important.