It might help to compare it with going to the gym or for a run. In some sense this produces an immediate negative reaction: our muscles get sore and stiff, and we get out of breath. But we still do it perhaps because we feel better afterwards, or because it helps our long term physical health.

Likewise, deliberately experiencing sad (or otherwise) emotional states has both short term and long term positive outcomes. In the short term we feel a sense of catharsis, and perhaps reassured that our feelings are relatable. In the long term we feel more in touch and less overwhelmed by our emotions.