Memory-augmented language agents are increasingly deployed in affective applications such as emotional support, where understanding and responding to users'latent emotional needs is critical. However, existing research often treats memory as a tool for factual retrieval, overlooking its role in shaping users'emotional experiences. In this work, we introduce ENPMR-Bench, a benchmark for evaluating Emotional Need-aware Proactive Memory Retrieval (ENPMR), a core capability that enables agents to infer users'latent emotional needs and proactively retrieve appropriate memories to support empathetic interaction. Grounded in Maslow's hierarchy of needs, ENPMR-Bench includes over 1,800 memory-augmented dialogues and defines structured mappings between emotional needs and supportive memory types. Experimental results demonstrate that current retrieval paradigms, including both embedding-based and LLM-driven approaches, exhibit substantial deficiencies, with empathy scores significantly lagging behind golden memory conditions. While chain-of-thought prompting improves the alignment between inferred emotional needs and retrieved memories to some extent, a notable performance gap remains. Together, these findings reveal critical limitations in current agents and outline directions for advancing personalized emotional support through need-sensitive memory retrieval.