There are plenty of quotations that support that theme. Here are a few:
In Chapter One, Daisy calls herself "sophisticated," meaning that she has "been everywhere" and knows that "everything's terrible." Nick feels the insincerity of her attitude, but Daisy nevertheless looks at Nick "with an absolute smirk...as if she had asserted her membership in a rather distinguished secret society." It's clear from this passage that Daisy is bored with the privilege her wealth gives her, yet has given herself over, perhaps out of spite, to the exclusivity her economic status allows.
In Chapter Three, Gatsby's house is described in such a way as to make it seem wonderful and trivial at the same time. The narrator lingers on the expensive preparations that make Gatsby's famous parties possible. For instance, the narrator notes that Gatsby had a machine that could "extract the juice of two hundred oranges in half an hour"—a detail that is meant to express the grandeur of Gatsby's household, but instead has the effect of reducing it to a comic absurdity.
A similar moment happens in Chapter Five as Gatsby is showing Nick and Daisy around his house. He takes them to his private apartment and shows them his clothes, piling beautiful shirts on the table in front of them. This causes Daisy to cry—she says, "It makes me sad because I've never seen such beautiful shirts before." Gatsby's behavior here comes from his desperate need to impress Daisy. His wealth means nothing without her appreciation, but Daisy's reaction to the absurdly rich abundance of Gatsby's shirts suggests both a kind of infantile infatuation with the trappings of wealth, on the one hand, and am equally infantile attraction for Gatsby himself, who, like his shirts, is "beautiful."
It is true that the characters in Gatsby are deeply unhappy, and that for many of them, their wealth makes them more unhappy than they would be otherwise.