Mental health is heavily influenced by your surroundings, but not only. There have been enough people commiting suicide whose lives were not 'that bad' either.
You can be the richtest person in a good family and still think that life is not worth much...
I agree that coming out as gay shouldn't be a big deal, but apparently it is, because he is the first one in the history of the league.
Around 3.5% of the US population is gay, and there have been around 10'000 NHL contracts signed so far, you can figure the number of athletes that didn't risk coming out.
So as irrelevant as it should be, it actually is a big deal that someone takes that step.