I get an empty feeling when I read a book or watch a movie?

Sometime when a movie ends or a book ends I have an empty or lonely feeling. Like a unsettled feeling in my stomach, not because I have to throw up though. This happens especially when the book or movie had a cliffhanger, and when it's about romance. I really like the books I read and I'd like to enjoy them fully without having to go through this feeling, can someone help me?