In a way, yes. Sad music can sometimes improve your mood, similar to how therapy does. For example, listening to sad music can be the same as talking about an issue you might be experiencing. Knowing that you aren't alone in how you feel can be pretty cathartic. If you don't approach an issue or emotion you are feeling head-on, you will have trouble overcoming it. Listening to sad music can help us embrace and overcome certain things that we might be feeling.