Remember in Thunderbolts when Yelena confessed to Alexei that she felt so alone and drepressed. That the only things she was able to do was going to work, stare at her phone and think about all the bad things she has done.
In the intro the Brand New Day we see Peter going full SpiderMan mode (working), stalking Ned on his social media (staring at his phone) and constantly visiting May's grave (thinking about the bad things he has done).
Black Widows were trained to easily read people, so the moment Peter walked into Yelena's "office" she clocked the same depression that tormented her for so long. Her comment about him being a "sad man" wasn't thrown randomly, she knew that it was true.
That is why she was geniuly happy when she saw him with friends; because it was having friends what ended up saving her and she truly believed that it could save Peter too. She was right.
