For four reasons.
1) Society hates acknowledging problems it can't help. There is no practical cure for lack of sex and intimacy. If I were a woman and the government were to force me to have sex with ugly, old, smelly or weird men as part of some welfare program, I would rebel. You can't force people to have sex. On the other hand, anti-depressants and therapy, while of lower effectiveness, are technically in the realm of feasibility.
2) Sex is a taboo topic, and remains so in casual conversation. Magazines and TV series may talk a lot about sex nowadays, but in actual conversations between people, it is very much still taboo and I think it will remain so. The taboo of sex is certainly partially genetic.
3) Happy, or at least moderately happy, ugly and celibate people do exist (though they are rare). They serve as proof that lack of sex or intimacy does not necessarily cause depression.
4) Depression has genetic roots and sometimes you can be depressed even in a very good situation.