He was striken with grief at the loss of his friends and family in Infinity War already, and failing after that, which means he lost MORE friends and with the guilt of half of the universe on top of his revenge on Thanos not being satisfying to him at all put him in a deep depression. It's a surprisingly human moment showing Thor at his weakest. It's one of the reasons I don't like the fat jokes, not just because it's tasteless when the movie was made in a country with an obesity problem but because Thor gained that weight through stress, you REALLY think it's good to say "Hey, if you know someone who's gained weight by stress, make fun of them for it which adds more stress to potentially more weight and self-destructive behaviour!"? At least Guardians 3 is justified now