I don't think this is about seeking attention, and in fact as you may have discovered, such thoughts of self-harm tend to frighten other people, and can cause them to withdraw, or bring about unwelcome attention. You mention having a "therapist", so presumably you sensibly sought help and have begun to receive some. I hope your therapist is using a modern method, support by god research, such as CBT (Cognitive-Behavior Therapy ) rather than old-fashioned analytical methods.
Did you go straight to this therapist, or were you first seen by a GP or psychiatrist who assessed and diagnosed you ? Diagnosis should be made by recognized modern methods, using the diagnostic criteria of the DSM 5, rather than less scientific methods. Depression, of course, includes sadness. I would expect any therapist to take your report of persistent suicidal thought very seriously, and to make them a primary focus of therapy.
Your basic question of why anyone ever has such thoughts is valid and very complex, and would need to be answered in context by someone treating you, who has the neded background information.
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