Brett is unhappy for three reasons. First, like Jake, Mike, and the Count, she is a war veteran. Though she of course did not see combat, Brett served in a military hospital, an experience that was surely harrowing just the same, especially considering the newly-brutal weapons employed in World War I. Second, there is no place in her society for a woman like Brett — a female Don Juan, if you will. (This may partly explain her lack of relationships with women. She has been ostracized by her female peers for her brazen sexuality.) Finally, Brett is nearly as tormented by their unrequited love as Jake is. In fact, her serial affairs can be seen as attempts to fill the void created in her by Jake's unavailability. Notice that immediately after Jake tells Brett he loves her, she says she is in love with Romero, as if to bury her powerful, reciprocal feelings for Jake.
Although Jake Barnes is the protagonist of The Sun Also Rises, Brett serves as the novel's center, its objective focus. She is the "sun" around which the other characters orbit, starstruck, in the way that the Basque peasants place her on a wine cask and dance in adoration during the fiesta, as if Brett were a goddess. Brett cannot relate to Jake's Catholicism partly because she herself is an object of worship and dislikes sharing the altar with other deities. This does not mean that Brett is selfish, however, or narcissistic. She is merely realistic about, and accepting of, the power she has over men.
Unlike Jake, who is in the same boat at the book's conclusion as he was on the first page, Brett has changed by the end of The Sun Also Rises. First, she has grown truly capable of loving someone besides Jake — an important step if she is to live a life less than utterly miserable. Even more striking: Though she loves Pedro Romero — loves him madly, in fact — she ends their relationship because she knows to continue it would harm Romero's career. Brett has demonstrated a capacity for generosity that was not apparent at the start of the novel, a moral strength we could not have imagined her possessing. Now if she can only grow strong enough to leave Jake — to leave him in peace.
