The current understanding is that depression is related to a neurochemical imbalance in the depressed brain. Pharmacological treatment to shift and correct that imbalance may therefore be an effective approach.
Basically you are saying depression is a state of mind and should be treated with counselling rather than tagging a person as mentally ill and medicalizing the care.
As pointed out in the other answers, diagnosis of clinical depression happens through rational guidelines using questionnaires and inventories. Basically, the goal is to extract the clinical, chronic depression from the other group that only shows some, but not all the symptoms of clinical depression. Normal life events can trigger a depression, but that doesn't mean that person needs medical treatment.
In contrast, clinical depression, while being a mental disorder, has correlates in the neurochemical balance in the brain. From a neuroscience perspective, the depressed brain is physically different from a non-depressed brain.
Early medical treatments, and more recent accepted classes of anti-depressants show important correlates to dysfunctional mono-aminergic neurotransmission. A rough timeline of the various anti-depressants shows the neurotransmitter systems that are targeted by these drugs (Ferguson 2001):
Without going into their specific mechanisms of action, the point I wish to make is that decades of research in anti-depressants has strongly indicated that a monoamine (MA) neurotransmitter imbalance (most notably 5HT), and specifically a reduced MA neurotransmission is one of the leading factors to a depression (Muñoz & Alamo, 2009). While counseling may help, the underlying disorder may perhaps be treated effectively through treatment with antidepressants.
Regarding your statement that a diagnosis may enforce depressive thoughts -
I disagree. Acknowledgement of the depressed state as a serious and debilitating illness is a necessary first step to recovery. Instead of the "oh it's just all between your ears - here are some positive words for you", depressed people are taken seriously and receive the appropriate medical care they deserve. This counts for pharmacological interventions and counseling alike. The first and likely the most crucial stage is acknowledging the problem - for the patient, the care providers, as well as for friends and family.
- Ferguson, Prim Care Companion J Clin Psychiatry (2001); 3(1): 22-7
- Muñoz & Alamo, Curr Pharm Des (2009); 15(14): 1563-86