We think some external thing, status or experience will make us happy. God says we cannot be happy in ourselves, happiness is a relationship with him.
If we think "If only I could do, or be, or have something -- then I'd be happy," we haven't understood yet.
With God, we'll be OK, even if we are poor, sick, mistreated or abandoned. Without God, even getting all we want won't make us happy.
This post inspired by Ray Ortlund's blogpost.