Here’s where I think he’s coming from:
People have a tendency to take refuge from harsh realities by indulging in frivolity or delusive thinking (this is what Marx was getting at when he said “Religion is the opium of the people”). This is a band-playing-while-the-ship-sinks kind of happiness. Someone with a higher degree of mental discipline is less likely to be comforted by unfounded hopes or superficiality.
And it’s true that there’s no lack of examples of powerful intellects who get overwhelmed by existential despair. Reason alone can’t provide a basis for happiness. Highly intelligent people are often very reliant on reason because that is their strength, but it fails them when it comes to addressing some core paradoxes that appear to be barriers to happiness. Hemingway seems to have gotten stuck here as did, apparently, many intelligent people in his circle.
The paradoxes aren’t resolved by reason, so intelligence is no great asset in transcending them, nor is it necessarily a liability.