As DanArmak said, happiness and utility don't have to go hand in hand. There is no reason why you have to be sad even though all of your preferences fail to be met (on some level, if you no longer achieve basic needs like food, sleep, shelter, companionship, then it is hard physically to not feel sad, but that is a separate issue).

Another thing to consider: by behaving rationally, you will probably end up doing better than 99% of other people in the world. Most of them seem basically happy with their lives, so there is a proof by example that it's possible to be happy even if <insert your goal here> is not achieved.