There is a trope known as 'Darkness-Induced Audience Apathy' (https://tvtropes.org/pmwiki/pmwiki.php/Main/DarknessInducedAudienceApathy).
Essentially a story can be too dark and if the character are not ones the audience are invested in (or there is ONE character they like but they live in a world full of assholes and thus go through hell with no hope), then a sad story can turn into a story where audiences don't care about what happens.
I think it's important, to @Maps point, to have some kind of light, or levity in the sad story. That also gives the effect of making the gut punches even more effective and thus the suddenly feels more real. That with effective complex characters makes any story, even a sad and dark one, compelling.
I can't say I write sad stories, but I do write dark ones, so I spend a lot of time on characterization because if you're following someone into the depths of hell, they better damn well be a person worth following.