From my experiences, there is absolutely nothing wrong with these feelings after therapy sessions. VERY common and even expected. I usually look forward to my therapy, but also dread it cause I know I will probably feel depressed, confused and anxious for a day or so after.
I'm not sure of all the reasons, but I know it's due to several things. The first, you mentioned. It's so nice to have somebody listen to just you and focus on just you. It feels safe & warm and hopefully validating. Hard to go back in to the real world after feeling like that.
Also, lots of things get discussed and stirred up. Many times we don't even know these feelings have been touched until we have some "processing" time. Hopefully, you can go in to the next session & discuss the feelings you had with your therapist.
I would say if you like and trust your therapist then you are going thru the "process" like the rest of us. Hang in there. There's a reason it's called "work"