I get that way myself and when it's rainy, cloudy or just dreary outside I'm in a very depressed mood and don't feel energized at all.
The reason I believe the cloudy and rainy weather zaps me from my energy and leaves me feeling sad and depressed is that during the sunshine we get vitamins from the sun which produce hormones in our bodies that help us feel good and essentially charges our batteries.
When we lack that sunlight our energy gets depleted and we feel sad because of the lack of vitamins etc.
It's not really the weather itself I would guess but some people get sad and depressed during rainy weather while others get happy during the cloudy and dreary days.
It's normal though to feel depressed and sad on cloudy days so you're not alone.
I find for me that using a light that's known as a SAD light or Therapy Light that produces artificial sunlight that is near similar to the light you get from the sun.
During dreary days sitting near a SAD light helps boost my mood and I highly recommend you buy a SAD or Therapy light as it has helped me and continues to help me when I'm feeling bad on dreary cloudy days or in the winter months.