When you start to change it's as though you and the people in your life were playing a board game and all of a sudden the rules are different and they don't like it at all. But the good people will stick around and figure out new ways to play. I want to say that it's no great loss about the ones who don't stick around but losing people you care about, even if they aren't good to you, IS a loss and it can feel quite sad to let go of them.
Managing your empathy is a tough skill when you have a lot of it. I think that if you're able to have empathy for yourself too, it becomes easier to recognize when your sensitivity to other people's issues is causing you harm.
Have you checked out Elaine Aron's work about highly sensitive people?