It is okay to feel sad sometimes. Sadness is as much a part of life as happiness. It is often an expression of our compassion and shows that we can have empathy for people, which is a good thing.
Regret is what you must be weary of. Regret feels like sadness but is so much more painful, because it is something that we bring on ourselves when we focus on it. Regret is also more painful because its cause sits in the past. We cannot change the past, whereas sadness can be turned into happiness by what we do now and in the future.