Lena Dunham -- Too Bad, So Sad ... I Got a New House :(

Lena Dunham better buy a lot of Kleenex ... she threw down nearly $2.7 million for a new pad in L.A. -- you know, the same city that makes her super depressed.

Dunham told Vogue last year that L.A. just wasn't her bag -- but she's clearly had a change of heart. She bought a 2,500 sq. ft. 3-bed, 3-bath house just off the Sunset Strip.

Her first big ticket West Coast crib includes a swank guest house and pool. The "Girls" creator normally comes to L.A. once a year to edit the show, but looks like she's prepping to suffer on a more regular basis.