Definitely know how you feel, I've certainly felt a bit sad many times whenever a good anime's come to an end. Thanks to the fresh supply of new series each season the bittersweetness is lessened, though, it would be a lot worse if I didn't have new animes to serve as a rebound. Don't feel bad about finishing Clannad though, since it's a Visual Novel there should still be other paths to go down.
Unless you've finished every route in the game anyway, in which case you can go back to being sad.
