Yes. I have just cancelled an appointment, told the secretary I'd call back and make another one, and then just never do it. One of my therapists told me that most people do it that way. Most clients don't really want a big "goodbye" session apparently.

It's possible that even if you had confronted your therapist and told her why you were leaving she might not have heard you or responded to your feelings. But since you still feel bad about it after all this time, you might need to figure out some way to resolve it within yourself. Maybe talking to another therapist would help? Or journalling? Posting about it on here? Something to validate your own feelings.