Feelings help us to notice things about ourselves. When you feel angry it is because something is not sitting right with you. When you feel excited it is usually because you are looking forward to something. But it you find yourself in a state where there is an absence of feeling it is impossible to know what your emotional state is.
Many people who are depressed do not know why they are depressed because they do not have many present feelings to help them make sense of things. This process is often very gradual. Therapy helps you to begin to feel again.