Romeo's first reply when Benvolio asks him why he is sad is to say that he is "[o]ut of her favour, where I am in love" (I.i.165). In other words, Romeo is feeling sad because the woman he's in love with will not return his affection. As the scene continues, Romeo refuses to tell Benvolio whom he is in love with, but instead complains in general about how cruel and paradoxical love is. He refers to love as a "loving hate," as well as a "[m]isshapen chaos of well-seeming forms" (174, 177). When Benvolio asks Romeo to tell him whom he so sadly loves, all Romeo says is that she's a woman; she's fair; and, "[s]he hath Dian's wit," meaning that she is refusing Romeo because she has sworn to remain chaste, just like the Roman goddess Diane was known for her chastity (206, 209, 211).
In short, when Benvolio asks Romeo why he is so sad, he explains that he is in love and being rejected, but will not say whom he is in love with.