Depressed people need to have their worth confirmed. A depressed person is often overwhelmed by irrational fears. Doing activities alone seems impossible. Staying alone, even more so. The person is fully aware that such fears are totally irrational.
Adults feels shame and horror at their inability to do things that children easily do.
Embarrassment at being afraid joined with true inability to be free from fear brings intense suffering. Be gently understanding of someone in this state. Do not comment upon it. The person knows how irrational the behavior is. Just understand that the fear is real and be merciful.