Small update:

I e-mailed my therapist, explaining I decided not to return to therapy anymore, giving only a minor explanation of why I was leaving (simply that I had found the last session too uncomfortable), and thanking him for the sessions we have had.
He replied that he would find it a pity if we would end therapy like this, that he hoped I would reconsider my decision to terminate in this way, and whatever I decided, that he wished me the best and good luck with X Y Z. I thought that was a friendly and professional reply, and in a way was happy that he went against my decision (I had anticipated a shorter, businesslike response, just saying goodbye).

It's a couple of days later, and I have not made up my mind yet. I also don't like terminating like this, but I did not arrive at that decision on a whim, either. I will give it some time . Hugs to all of you, it's awesome to be able to share thoughts about this with you.