I can understand the sentiment. I think it's very natural to feel that way. When something that makes you happy ends, it makes you sad. When I visit my parents, who live far away, I enjoy spending time with them and feel very happy. However, when it's time to leave, it makes me very sad to the point of feeling depressed. Going back from the haven where you are surrounded by people that care about you to the reality where everyone wants you dead is naturally frightening and depressing.