I understand how you feel. I've felt sad after terminating therapy, too. It's a relationship like any other, (well, it's not like any other relationship and sometimes grieving for a T can be even more difficult than grieving for someone we're not as close to) and it's okay to grieve for the ending.

I'll be seeing my T twice/month instead of weekly, and then once/month so I have to think of replacement activities too. I agree with finding something special to do for yourself during the time you had your session, like a massage. I may try that. What about being in a group, either a therapy type group or something else completely? Or attend a class you've always wanted, like yoga, exercise, dance, or art. I know it's not easy. It takes time to get over the sadness. Allow yourself to cry, too.