Yes, it is depressing to be single on Valentine's Day, because it feels like everyone else is looking at you. It is a holiday about being in a relationship, and it seems like everyone else has a relationship and you don't. You also might end up on a date with someone terrible. It's not a good situation.
First, Valentines Day is a commercial holiday trumped up by florists and candy makers. No one should be depressed by being single on Valentines Day. Being single isn't the same as being lonely. Just hang out with friends or go to church on Valentines Day. Volunteer your time if you need something to do. Just don't drink your sorrows away over a silly holiday. Valentines Day doesn't make or break someone's relationship, nor does it make or break someone's love life or lack thereof.