Anhedonia isn't sadness. It is the absence of reward: you do what you used to enjoy and nothing happens inside. Music sounds the same, food has taste, but they produce nothing.
Clinically it splits in two: consummatory anhedonia — you no longer feel pleasure in the moment of doing the thing — and anticipatory anhedonia, you no longer look forward to anything. The second often arrives first and is the most missed, because it looks like a lack of motivation.
It is one of the two core criteria for a major depressive episode, alongside low mood — and the diagnosis can be made on anhedonia even when the person doesn't describe themselves as sad. Which is why "I'm not sad, I just don't feel anything any more" is a sentence worth taking seriously.