Depression Supporters Support Group
This community is dedicated to spouses, children, relatives, co-workers and others who are actively supporting someone suffering from depression or other serious mental illness. Depression can bring about intense sadness, melancholia or despair that has advanced to the point of being disruptive, which can have a grave impact on the ability of others trying to help.

As for what he might be feeling, it's almost anyone's guess. As your father, you know he loves you, and could possibly just hate to see you going to therapy in general. He might blame himself for not being there for you enough, even if he was. He could feel a lot of things, most of which would be untrue to anyone but him.
Keep strong and don't let him push you away -- which could be something he's trying to do, if inadvertently.
Hope,
Cyrano