The sense of emptiness after finishing an anime at 4 AM—does anyone understand?

Just finished a 24-episode anime, watched from 11 PM to 4 AM... Now I'm just sitting here staring into space, feeling like I've been completely hollowed out. It's clearly a fictional story, so why are the emotions so intense? Every time I finish a good show, I get this feeling, like I've lost a group of friends. Is anyone else like me? How do you usually get over this "post-anime depression"?