People who don't suffer from anxiety and depression can have some very strange views on it as I've found over the years. I agree with everyone else above its totally wrong to say this to you and you should 100% be able to talk about it with people you trust.
I also say NO...and whoever is embarrassed by your feelings needs to stay away form you because that is s o selfish and rude. You have a right to the way you feel.Even if it is family sometimes we have to distance ourselves from those who don't understand or who refuse to learn.
It might be embarrassing to however gave you there advice but you are talking about your health take care a listen to to you GP or someone who knows what they are talking about
stifling feelings only leads to more hurt. I was told the same thing for 17 years it only made it worse. I'm sorry you have to go through that.
NO! We need to vent, perhaps you're talking to the wrong people. If you can't talk to family and friends make sure you have a psychologist that you can talk to