“Now if there's a smile on my face,
It's only there tryin' to fool the public,
But when it comes down to foolin' you;
Now honey, that's quite a different subject.
But don't let my glad expression
Give you the wrong impression.
Really I'm sad.
I'm sadder than sad.
You're gone and I'm hurtin' so bad.
Like a clown I pretend to be glad.”

Letter to Miss M. Betham Edwards (5 January 1912).

Stuck on You.
Song lyrics, Can't Slow Down (1983)

Source: Hunger Point

That's when it's really sad.
Rolling Stone magazine/iTunes podcast (December 2005)
On the "chin-up sad" tone of one of his new songs on his upcoming album "Continuum"

Source: Vampire Academy

AOL Live (1996)

Interview with BBC Radio 1FM (1994)

Variant: “It isn’t dying that’s sad. It’s living when you’re not happy.”
Source: Le Jardin des supplices

"On the Disadvantages and Advantages of Death" in La mort et l'immortalié, edited by Frédéric Lenoir (2004)