I think I kinda know how you feel. I invented imaginary friends since I don't have any real ones and I gave them each imaginary biographies and stories. Every so often, I get angry at them for being imaginary and angry at myself for not having the courage to make real ones. The anger quickly turns to the most horrible lonely feeling you can imagine and I have to go off and cry at that point. However, my imaginary friends always come back and I need to have them around to talk to when there's no one else. As much as I hate the un-reality and the feeling that I'm lying to myself, they are an important part of me and I wouldn't give them up for anything.

It's a battle is what it is. Your logical side that knows what's real and what's not is fighting against your creative side that is trying to fill your emotional needs. I'm guessing that in your experience with the pillow, your logical side somehow won out and left you feeling that way. It's a feeling of loss, loneliness, hurt, and sometimes a little anger.

Have you talked with your therapist about this? He/she might have some suggestions on how to cope.