But they also have reasons to step back from the ledge and dig in for next time.
The reasons for deep, soul-crushing depression are obvious. The women's vote didn't save them. The Latino vote didn't save them. A number of strong candidates couldn't overcome deep discontent with President Barack Obama. Their heavily promoted and very expensive get-out-the-vote drive failed. They lost even in deep blue territory, most prominently Maryland, where a little-known businessman toppled the sitting Democratic lieutenant governor. They'll have to suffer through more years with Republicans holding the levers of power in Washington and around the country, with fewer opportunities for new Democratic politicians to make their names.
"No way to sugarcoat it -- we got our asses kicked last night," Jim Manley, a democratic strategist and former aide to Senate Majority Leader Harry Reid (D-Nev.), said in an email.
"It's is going to be a tough two years for Democrats," Manley said. "Bad things are coming when Congress reconvenes."
Sen. Joe Manchin (D-W.Va.) expressed a similar opinion on Wednesday, calling the Democrats' dramatic losses on Tuesday "a real ass-whooping."
Yet there were signs of hope in that ass-kicking.
While several conservative Senate Democratic incumbents went down in flames, a liberal priority prevailed in four Republican states: the minimum wage.
In Arkansas, where voters favored Republican Tom Cotton over Democratic Sen. Mark Pryor by 17 points, they favored a ballot initiative to raise the state's minimum wage by an even wider margin.
Minimum wage measures also succeeded in Nebraska, Alaska and South Dakota, suggesting that even if the broader electorate didn't embrace if Democrats, it at least approved one of the party's key issues.
And while Democrats suffered a pasting, it's not all because the GOP was so good. As is typical in a mid-term election, turnout was underwhelming, and the groups that boast lots of Democratic voters, including women and minorities, didn't show up.
Both groups, as well as younger voters, stayed home in larger numbers than in 2012 or 2008, perhaps left cold by the unpopular president and the candidates who declined to embrace him or the policies they supported only two years before. In North Carolina, for example, some 4.5 million voted in 2012, but only 2.7 million showed up Tuesday to decide the contest that Democratic Sen. Kay Hagan lost by less than 2 percentage points.
More broadly, the election saw the lowest turnout since the 1940s, according to a preliminary analysis by the University of Florida's Michael McDonald, whose early estimate puts turnout of eligible voters at a paltry 36 percent.
But dismal turnout is not likely to be a problem two years from now with another presidential contest unfolding.
"it's just a classic six-year-itch election," said Larry Sabato, who runs the University of Virginia Center for Politics, which predicted a 53-seat GOP Senate would emerge from Tuesday's contest. "If Obama had gotten involved in a sex scandal and Republicans had tried to impeach him, it would have gone well, but that wasn't going to happen," he said, referring to the one recent anomaly in which the president's party gained ground in the sixth year of his administration.
The poor turnout does raise some questions for the Democrats, Sabato said. Even though they sank tens of millions into getting their voters to the polls, it seemed to have little impact in most of the southern states. Even in North Carolina, where Democrats thought they'd be able to make up a 2-point polling disadvantage, they could not.
"You wonder whether this was even exaggerated in 2012," Sabato said, referring to plaudits Democrats got for getting Obama voters to the polls.
Still, while Democratic constituencies failed to make it to the polls, the people who did vote made clear in exit interviews that they don't like the Republicans, either. The GOP's disapproval stood at 56 percent, with approval at 40 percent.
There were also some bright spots for Democrats. Despite the grim national mood, Republicans were unable to muster strong challenges in Michigan or Oregon, which stayed solidly in the Democratic fold.
And then there was New Hampshire, a state where a well-known Republican in the form of former Massachusetts Sen. Scott Brown ran hard on the same national issues that worked for his party elsewhere, but still lost to Democratic Sen. Jeanne Shaheen.
Observers regard the state as one of the more accurate bellwethers for the national mood. The fact that Shaheen won and embraced Obamacare offers the party some hope that its candidates can run and win by touting their own policies.
Here's how former New Hampshire Democratic Party leader Kathy Sullivan put it on Twitter:
Indeed, New Hampshire has obvious significance for 2016 as the first-in-the-nation primary state. And while a number of conservatives and Republicans have been pointing to the failure of Hillary and Bill Clinton to help Democrats in the South, the former first couple may have had a positive impact in the Granite State. When Brown and Shaheen released their closing argument videos, Brown offered a slickly produced piece that hit on all the national issues and mentioned Obama often. Shaheen's was much simpler, with footage of the senator and a basic voiceover. The voice she chose was Hillary Clinton's, giving her a rousing endorsement.
Democrats will remember that in 2016.