Ah indeed there are many sad moments in Naruto. people have named off a few moments already..
I have to say, the saddest moment in Naruto for me, was the closure between Aburame Shino and Aburame Torune. After Torune passed down his special parasite jar jutsu to Shino Aburame, Torune Aburame opened up and told his story to Shino. Telling him about his time spent in root under Danzo. they sat back reminiscing about when they were younger, the time they spent as friends.
It was truly a touching moment between great shinobi.