You call a kid this just to make him mad. He may not actually be sad, but by calling him Sad Kid you may provoke him to end up being a Sad Kid. It's basically taking one of your friends and giving him a nickname he doesn't want. It's like trolling, you just do it to get a reaction.
Freind 1: Hey look it's Jordan!
Friend 2: Who? Oh you are talking about Sad Kid.
Sad Kid: Im not sad!
Friend 2: I think you are Sad Kid because I just lost the game.
Sad Kid: No im really sad.