There may be something to that, but it's hardly a universal feeling.

I was laid off a few years ago and I took as much time off between jobs as I could afford. I got a bunch of hiking, biking and camping in; read a bunch; and generally had an excellent time. I only felt depressed when my savings started to get low and I knew I'd have to get a job.

Some people connect their self worth to working, and they feel worthless when they're not working. Some people don't, and they don't have that problem.