When we are experiencing emotional distress - whether depression, anxiety, anger or something else, we want these feelings to go away. No one wants to feel emotional distress, and understandably so to.
This is where the role of destructive coping approaches comes in. When someone first starts comfort eating when they feel down, or having a drink when they feel anxious in a social situation, or going to the gym when they feel angry, they are doing it for the right reasons - they are trying to make themselves feel better.
It makes a lot of sense. If there's something that can make us feel better in that moment, why wouldn't we turn to it?
The 'coping' approaches that are immediately available, the ones we most commonly turn to are things like - excessive comfort eating, excessive food control/dieting, obsessional exercise, problematic drinking or drug use, excessive gambling, sexual promiscuity, excessive spending etc. Unfortunately all of these have a negative impact on our mood once the immediate moment has passed, and even more so if they develop into an addiction.
What is good in these situations is that you are doing something to try to make yourself feel better, its just the way you have selected is faulty. Therapy helps you to develop alternative affective coping approaches that do make you feel better without any consequences, thereby allowing you to fade out these destructive ones.