Well, I guess it's more of a back-end issue than a depth issue. They have one shut down guy (Cecil) one setup guy (Loup) and then about a dozen that you would project close to replacement level.
You could certainly call it a depth issue if you want. The depth at the back-end of the bullpen is lacking. They could use more shut down arms for sure. The problem is, it's extremely, extremely inefficient to acquire guys that would project as shut down arms.
And the optimist would say that shut down bullpen arms come out of nowhere every year. They rise from the ranks of the "replacements" and cement themselves as really f***ing good. Remember when Andrew Miller was a sad failed prospect? When Dellin Betances was a lost cause that couldn't throw strikes? Who saw Pat Neshek turning into an elite reliever?
But, the pessimist would say that banking on that happening to your team is a terrible idea.
Maybe bullpen arms are so random that the Blue Jays have actually got it right this year by acquiring a bunch of intriguing minor league guys to fill it out. We'll see. In the team's defense, some of them have been really effective in recent memory (Lopez and Delabar).