It depends what you mean by "depressed people", and I think perhaps what you really mean is "Depressed people aren't crazy".
If you mean someone who is depressed because their dad died or some other traumatic event, then no they're not insane (or crazy).
If you mean some one suffering from depression as a disorder, rather than depression as rational mood state induced by circumstances, then by definition they are not sane.
Sane/Insane are not insults but technical terms (albeit ones which have fallen out of favour due to political correctness), the definition of sane is being in a rational state of mind.
IANAP (I Am Not A Psychiatrist) but if you are depressed due to metal illness your judgment is compromised to a greater or lesser degree and as such you are by definition not rational.
Not that I judge or criticise anyone for being depressed or having any other mental illness. It is just that, an illness, something the sufferer is blameless for and there are a variety of treatments available.