I cry at movies all the time. It's just as healthy to express sadness as it is to express happiness. Expressing your emotions enforces emotional stability, keeping them locked up is what causes mental issues. I found out from a young age that my EQ (which is your emotional intelligence) was quite above normal.
The whole alpha man thing regarding not crying is a farce. It doesn't make you any less of a man. To understand and feel the raw emotion behind a message or story is the ability to truly appreciate and understand empathy and ultimately the trait that makes us human. Fair enough if you're just trying hard not to show emotion because you think your girlfriend won't dig it, but to actually not feel anything just shows a dense character in my opinion. A lack of understanding.