Why a newborn baby cry?

All newborns are supposed to cry—and most of them do a very good job of it. In fact, most newborns tackle this important rite of babyhood immediately on being delivered. A newborn’s first cries serve a very important purpose—helping to fill his lungs with air and thereby shift over from being dependent on the oxygen carried to him in his mother’s blood to breathing it in on his own. Even without an explanation of fetal and newborn circulation, you probably don’t need us to tell you that delivery room cries are worthy of eager anticipation; generally represent the arrival of a happy, healthy baby; and are almost universally met with tears of joy and relief.

What cries may come in the days that follow can vary considerably from baby to baby—but more likely than not you’ll find yourself with a relatively sleepy baby who only cries to be fed. Once newborns have slept off the excitement of delivery and opened their eyes to the brave new world that lies before them, you can bet that they all inevitably and intermittently start crying.

That said, one of the first and most helpful lessons to teach yourself is that babies don’t always cry for the same reasons as adults. After all, most of us cry when we are either a) hurt or b) upset.We assume it is for this reason that many parents become distressed at the sound of their baby’s cry and feel like absolute failures if they can’t stop their baby’s presumed cries for help, much less stop them immediately.

Babies, on the other hand, have the uncanny ability to burst into tears (minus the tears, of course, which don’t tend to show up for the first month or so—see “Loud and Tearless” below) if they’re startled, hungry, cold or hot, tired, wet, bored, annoyed, have gas...you get the picture. The way we look at it, babies are justified in crying a lot if for no other reason than that they really don’t have many other ways of communicating their feelings. If you remind yourself that crying isn’t always synonymous with pain or being upset, you’ll be much less likely to find yourself on the verge of tears in the months to come.

Helping yourself in treating baby cry

Caring for your newborn baby requires much patience and some simple tips; however, you won't be able to find everything in a book or an article titled "Motherhood for Dummies" or "Everything you need to know about being a mother. Some things will just need to be experienced along with having some common sense.
What you should do when your baby cries is quite a debatable topic. I'm not a doctor or a psychologist, but I can talk in regards to my own personal situations in raising two daughters.
When your baby cries, he or she is letting you know that something is wrong because, of course, they are not able to talk. But once you find out that he is not wet, hungry, or in any type of pain and all he wants you to do is hold him, then you may be in for a rude awakening.
Okay, one or two times is quite fine and there is nothing wrong with showing affection and holding your baby, but when it gets to the point that all you hear is the sound of crying because he is not being held, then you need to nip that issue in the bud.
Your baby needs to be fine even when you are not holding him as well. In order to do this, you must not run to him every time he does it. We did this with our little ones and it worked out just well. My oldest daughter had her own room, was able to sleep with the lights off, and was the most precious quiet little baby you could ever imagine.
I am fixed on the fact that all of this was due to us not catering to her cries of wanting to be held every minute. She is now thirteen years old and is the most well-rounded child and is shown and feels much love from her parents.
If your baby cries and then stops the moment you pick him up and then starts back the moment you lay him down, then your baby is trying to train you. Stopping yourself from catering to this will probably break your heart in the beginning; but trust me, it only gets better!

Taking from:
Baby article