Ok, so let's say someone is clinically depressed and says "oh everyone is depressed" and the doctor shrugs, says "sure" and moves on. That's not good.

Saying "no" may seem tone deaf, but it's the way to keep the conversation open to get the person to share a bit more nuance than "everything sucks for everyone". Sure chances are that it's nothing, but they want to at least try to get out nuance.