I've felt that way before too, especially just recently when i finished Welcome to Nhk. When I finished it, i was pretty dead set on finding another series similar to it and even tried some Genshiken but couldn't really get into it.
Anyways the sadness/emptiness only really lasted me 1-2 days. And I've now begun on both GTO and Air Gear and they aren't similar to NHK but I'm really enjoying both of them.
Looking back its a much happier feeling now even though I finished NHK, a satisfied feeling of being grateful at experiencing such a great anime and knowing that I'll watch it again real soon.
I find what really helps is balancing out anime interests with other stuff, for example i like certain stand up comedy stuff so i watch that, and through laughing it eases those sad feelings
Also live action stuff like Breaking Bad, great movies can be sorta like a push back to reality
