There is a difference, but it's very minor. Generally 'sad' is interpreted to mean something like 'unhappy', while 'sadness' is "bigger" or more serious. When we use "sadness", it often suggests that the problem is much larger. It's worth pointing out that the two words are also different parts of speech so are not always directly interchangeable as they are in this sentence: We can't say: "He made me feel very sadness" "I have a lot of sad" To pick some examples.