Oh yes, most definitely. I am kind of a melancholy person in general, and so a lot (not all) of the music I listen to has a sad sound or element to it. You don't always want to be uplifted. Sometimes you want to marinate in your mood, not wallow exactly, but just let it be what it is and be swept away.
Playlist of rainy day music for a deep, reflective mood. These songs are not necessarily sad in subject matter, but this is all about sound and sonics you can relate to when in this type of mood: