Why does a person feel sad without knowing the reason? I have known people to behave in a way they despise, and they don't know why.
Modern theories of emotion suggest that like many aspects of self-knowledge, emotion is "inferred" rather than "introspected".

This is exemplified by a classic experiment in which men were surveyed by an attractive female interviewer while on a bridge.  Some of the men were on a "fear-arousing" suspension bridge, while other men were on a "non-fear-arousing" solid bridge.  Men surveyed on the suspension bridge were more likely to include sexual content in their answers, and more likely to call the interviewer later.  Presumably the men on the suspension bridge were more aroused than the ones on the solid bridge, and misattributed their arousal to the attractiveness of the interviewer.

Similar research supports the idea that physiological inputs (eg, the effects of hormones in our system) are combined with a process of inference to produce emotion.

Imagine having a low level of serotonin in your brain.  This may cause a negative effect on your mood - sadness.  Now you want to know why.  So you search for possible reasons: Maybe a conversation you had recently didn't go well, maybe your bank account is low on funds, maybe you notice that you haven't spent time with friends lately...  Successful attribution typically requires a plausible cause-and-effect relationship - that is, the most likely explanation is probably the correct one.

Put another way, people in general sense physiological states (such as sadness) without knowing why.  They then (unconsciously) "guess" why through inference.  Sometimes they get it right, and sometimes they get it wrong.  If you've ever had a girlfriend on her period blame her feelings on the way you treat her, then you know what I mean.  So the reality is that people who feel sad and don't know why, are ... accurate.  The only difference between feeling sad and knowing why, and feeling sad and not knowing why, is successful attribution - coming up with a plausible guess.