I can really identify with this. The quote comes from the character Sally Sparrow who was in an episode of Doctor Who called Blink. Sally was played by the actress Carey Mulligan (who is apparently an INFJ herself). I've always had a love for things that make me feel sad - songs, musicals, episodes in TV shows, films, books, art, etc, etc. I've recently discovered that the love of sad things is a trait that's very typical for my MBTI type. INFJs are very attracted to sadness - which probably makes us sound crazy. Most people tend to not like things that make them feel sad. So why do INFJs like feeling sad then? Well, because it makes us feel alive. We love things that make us feel very deeply, we love things that make us feel emotion, we love things that make us feel human. We can find beauty in sadness. We're highly emotional and sensitive people and we crave emotional catharsis. So now you know why I love sad things.
P.S. For the record I still love happy and uplifting things as well :)