In a word: depends

I know the following because I read medical magazines and encyclopedias but you can research this yourself.:

If you suffer from premature ejaculation, depression, or any other mental illness you most likely have a chemical (hormonal) irregularity in your brain and masturbation may aggravate it. Masturbation has a different psychological effect on the mind than regular sex does, it may affect you brain chemistry (for the worse)

Other people may also be sensitive to masturbation, it all depends on your genes.

For more info about brain chemistry see this post: How your mind works >