In Act 1 Scene 4, Romeo is depressed because the beauteous Rosaline hasn't returned his affections. He states that he has a "soul of lead" and doesn't feel like attending a party at all. Mercutio tells him to borrow "Cupid's wings" so that he can dance and soar "above a common bound," but Romeo maintains that he's too much "under love's heavy burden" to do anything remotely happy. Also, since all of them are Montagues and sworn enemies of the Capulets, Romeo wonders how they will be allowed to get in.
Romeo also tells Mercutio and Benvolio that he had a bad dream the night before.
For his part, Mercutio isn't too sympathetic about Romeo's grim assessment of life. He asserts that dreams are "begot of nothing but vain fantasy" and "thin of substance as the air." However, Romeo is not to be coaxed out of his bad mood. He argues that something is in the air, and he deeply feels that going to the party will somehow end in his "untimely death." So, Romeo doesn't want to attend the party because he's depressed about Rosaline not returning his affections, worried that Montagues won't be allowed to enter the Capulet residence, and concerned that the party foreshadows his untimely, future death.