It is unclear exactly what mad Antonio sad. He himself does not know either.
In sooth, I know not why I am so sad:
It wearies me; you say it wearies you;
But how I caught it, found it, or came by it,
What stuff 'tis made of, whereof it is born,
I am to learn;
And such a want-wit sadness makes of me,
That I have much ado to know myself.
He acknowledges in these opening lines that he does not know the reasons for his sadness and mentions that he has much to learn to establish exactly what causes it. This depressed feeling makes him feel tired and he admits to Salarino and Salanio that it seems have become tiresome for them as well. He suggests that he has much to do, probably some serious introspection, to understand his melancholy.
Salarino suggests that Antonio's mood is caused by his concerns over his trade ships at sea where they are at the mercy of the waves over which they rock and duck. Antonio replies that if his thoughts had been caught up in his ventures across the oceans, he would be testing the wind and seeking its direction and he would be studying maps in search of ports and safe harbours. He would be searching for any object that might put his ventures at risk if he had such doubts. The implication is, therefore, that it is not worry about his ships which makes him sad.
Salanio, however, believes otherwise, and uses a number of metaphors to describe the kind of dangers that Antonio's ships might be facing, such as the fact that they might get damaged by terrible winds or that they may be caught on a windless ocean or get banked in the sand when the tide is too low. He believes that should one have such thoughts, it would indeed be saddening. It is because of these concerns, he peruses, that Antonio is so despondent.
Antonio, however, assures him that it is not so since he has not entrusted all his fortune to one ship or one destination only. Furthermore, he has also not invested his entire fortune solely in these seafaring ventures or risked it in the hope of success for that year only. His thoughts therefore do not dwell on his merchandise.
When Salarino suggests that he might then be in love, Antonio fiercely dismisses the idea. At this, Salarino mentions that:
Then let us say you are sad,
Because you are not merry: and 'twere as easy
For you to laugh and leap and say you are merry,
Because you are not sad.
The only reason, therefore, for Antonio being sad is that he is not happy.
Some commentators have suggested that Antonio's sadness probably stems from the fact that he realizes that he will soon lose the company of his best friend and companion, Bassanio, to that of a seemingly beautiful and wealthy young maiden, Portia with whom Bassanio has become infatuated. He has already been told about her by Bassanio, and does not relish the idea of losing touch with him.