Allah (swt) created humans with emotions. This simply means that some times will be happy and other sad. The Quran mentions many prophets and their grief, comforting us that it is natural to fall into a state of despair. And prophets are the closest to Allah (swt), because of their unwavering faith and elevated worship. Let us look at some examples.
The Quran describes Maryam’s (as) anxiety, when she was amidst labour pains: “But he called her from below her, ‘Do not grieve; your Lord has provided beneath you a stream.’” (Maryam 19:24)
Yaqoob’s (as) pain of separation from his beloved son Yusuf (as) has been captured in the Quran: “He said: ‘I only complain of my suffering and my grief to Allah, and I know from Allah that which you do not know.’” (Yusuf 12:86)
Hence, sadness or anxiety does not turn one into a sinner. People, who are very spiritually active, can actually fall prey to this. Also, it is not gender specific, as we observe that the Quran has spoken about the suffering of both males and females. Why did the Prophet (sa) teach us this Dua if there was no possibility of grief and emotional distress in a Muslim’s life?