I had the same experience years ago, totally unrelated to HRT. I realized that getting wasted was just no fun.
Alcohol is a serious depressant. It depresses just about everthing: inhibitions, coordination, judgement, reaction times, and definitely emotions. Yes, it makes you depressed. I found that the depression, especially after getting seriously drunk, lasted several days.
I stopped that kind of drinking for two reasons. I scared myself badly driving one time. Yeah, stupid, I know. Don't worry, no one was hurt, no property or sheet metal damaged, no law enforcement involvement. Nothing happened, but I realized it very well could have, and that was scary.
And I realized that I just didn't enjoy it. I drank like that only because it was expected of "guys" and I was trying to pretend that I was one. While getting drunk might be fun, recovering, especially the depression, was not. It just wasn't worth it. So I stopped.
I still enjoy the odd glass of wine. Just had a nice glass of Chardonnay a while ago, as a matter of fact. But one is generally my limit, and two is my absolute limit. It has been more than 35 years since I last had more than two drinks. I have had one and a half or two drinks on maybe a dozen occasions since then.
I have not noticed any difference on HRT.