Williams, 63, viewed the cancellation as a personal failure, reported TMZ online.
"Just before the show debuted, he said, 'My face is all over town on billboards and it's all on my back'," a source said.
"The cancellation after only one season sent Robin into a tailspin... It hit him hard and that's why he entered the Hazelden Addiction Treatment Center last month -- not for substance abuse, but for depression," the source added.
"He would talk about Robert De Niro, saying even he was having a hard time," the source said.