David committed adultery, lied repeatedly, and had some people killed (2 Sm 11:4ff). After all these sins, he of course did not feel very guilty, for guilt usually decreases as sin increases. This is because of the blinding, numbing effects of sin (see Jn 9:39-41). However, the Lord in His mercy sent the prophet Nathan to convict David of his sins (2 Sm 12:1). Then David repented and prayed: "Have mercy on me, O God, in Your goodness; in the greatness of Your compassion wipe out my offense. Thoroughly wash me from my guilt and of my sin cleanse me. For I acknowledge my offense, and my sin is before me always" (Ps 51:3-5).
Like David, we need to be convicted of our sins. It is better for us that Jesus no longer walks the face of the earth (Jn 16:7), for He has sent another Paraclete Who convicts us "about sin, about justice, about condemnation" (Jn 16:8). The Paraclete, the Holy Spirit, also convinces us that there is hope for us in our sinfulness because of our Father's mercy and the cleansing power of Jesus' blood shed on Calvary.
We do not have to live in denial or die in despair. The Holy Spirit convicts and frees us. Come Holy Spirit, convict us of our sins!