This is what the Underground Man is trying to show the reader — suffering will always pursue us because we are pursuing a meaningful life. And, you cannot live meaningfully without suffering. For man only treasures that which has been struggled and fought for.
Because, it seems, people are not capable of perpetual contentment, of spending their days doing nothing at all except eat cakes and sleep. People are far too restless, ungrateful, foolish and illogical. Their only trick is that they can invent a reason to suffer under every season and weather.