People who are depressed enough think the world is better of without them. They think killing them selves will be a relief for their surroundings. Some have described this like being trapped in a burning hotel room in a tall building. Jumping out of the window is certain death, staying in the burning room is like enduring their shitty life. Suicide becomes a relief in their mind, just like jumping out of the window will give a better death than burning to death.