Its not a sin, if those people are not your kins. However, it would have been more rewarding if you would have helped them to come out of their depression by advising and guiding them.

I’m a normal happy person with nothing to lose, since Allah has blessed me with so much. However, at times in my life I made the mistake of developing close relationships with depressed people. This as result got me into trouble since I unknowingly got involved in their problems.Now I always stay away from them. Would this be a sign of arrogance?