You know, most captive animals don't seem too sad to me, they get to sit around all day, get easy meals on a regular basis, and never have to deal with being killed by animals bigger than them. In return they have to stay in the same place and be mildly entertaining. Sounds like a good deal to me.
I'm reminded of a Seinfeld epsiode where Jerry askes George if he was kidnapped by alies would he rather be in a zoo or a circus. He said he'd rather be in the zoo for the above reasons-plus they might give him a female to mate witth.