No, they really don't. What they want is to feel better, and for their therapist to stop playing "no shit Sherlock" with their pain by pointing out obvious irrelevancies in regard to it.
What they want to hold onto is the very specific, unique truth to their grief that is invariably found behind the anger. When they find it, that very specific point or points fueling the rage, they no longer need the anger: it has served its purpose.