There's a few funny things about writing. You build a character's history, their motives, their decisions, and you get to know their minds. You have to, because, to write a believable character, they're each going to have their own quirks and qualms that are going to affect their decision-making process. Religion, past experiences, culture and so on. And you get to know them, you care - they don't exist, of course, but you've created these people and you know them better than you know a lot of people. I know them better than I know my sister - admittedly we don't have a close relationship, but I can't predict how she'd react to things. But of course I know how my characters would.
And I'm not just talking about protagonists, I'm talking about every single character, the good guys and the bad guys. You have to know how all of them work, and you get attached. I don't necessarily believe I'd get on well with these people if they did exist, but I wouldn't know how their minds worked. Knowing what I do about these imaginary people changes things. I can pity and sympathise with characters who are my polar opposite because I understand how they feel and, more importantly, why. Even if they're villains.
And when they die...yes I've cried when killing characters in the past, but whether I cry or not, I get this strangely hollow feeling for a while. I'm knocked out of my rhythm for a few days. As dramatic as it sounds, it's a bit haunting. They never existed, but I knew them so well, and now they're gone.
I'm sure a number of you are reading this thinking I'm mad and I need to get out more, but it's the same as having a vivid dream, one where things go amazingly well for you - achieve your dreams, fall in love, make friends with someone who truly understands you - and then you wake up and it's all taken away from you and then you're out of whack for a while. It's kind of like that.
And I love it.