First and foremost - It’s just not HE all the time, the personality traits can be found among anyone or any one however - The chances are its mostly found among Men than women yet, We must not categories with just one Gender.
Reference - Meta Analysis upon Narcissism among genders.
“Emily Grijalva, Daniel A. Newman, Louis Tay, M. Brent Donnellan, P. D. Harms, Richard W. Robins, Taiyi Yan. Gender differences in narcissism: A meta-analytic review.. Psychological Bulletin, 2015; 141 (2): 261 DOI: 10.1037/a0038231”
To Answer the question - Where would a narcissist go to, when S/he is depressed. It differs individual to individual however, my assumption here would be, A narcissistic person would go where they would feel comforted probably where they would get praise or their ego to be boosted or somewhere they can feel highlighted and up in the game.
