In Act I, why specifically is Romeo uspet/sad?
Not only does she not love him, "she hath Dian's wit." Diana was the goddess of chastity. This girl Rosaline has commited to remain chaste, meaning a virgin. The reader might even be led to believe that this is a girl who has decided to become a nun. This is highly probable with the Catholic overtones you see throughout the text.
So, it's not that she's just not interested right now, or that she has a different boyfriend, or that her parents won't let her date... all those things that mean maybe another time. Romeo is moping around because her answer to him is a no, not ever under any circumstances. Guys don't like hearing that.
Romeo also knows he's a catch and can't even influence her.
If you are talking about Act I, Scene 1, then Romeo is sad because of unrequited love. Specifically, he is in love with a girl named Rosaline and she does not love him back.
So when we first see Rosaline, we see him totally moping around. He's really pretty pathetic. Benvolio says good morning to him and he asks if it's really that early -- he feels like the hours have been totally dragging by because he is so sad. He is so pathetic in what he is saying that Benvolio says that Romeo makes him want to cry.