What’s wrong with knowing that someone or something outside of me is responsible for making me feel unhappy?

Everything. There is no profit in blaming your painful position in life on other people or an uncaring world. This is the solution the false self wants you to swallow, because it knows that if it can get you to see life its way, then you will have no choice but to spend the rest of your life struggling with life. This is its conquest. First it blows you off course and then it gets you to blame ill winds. Its very existence depends on keeping you off balance and looking in the wrong direction. 

Start seeing through the blame game by learning to let go of all the familiar but self-abandoning answers the false self wants you to believe in. Own your own life.