To be honest, I never got that feeling. I always feel catharsis finishing a game. However, with a huge exception on the Metal Gear Solid series, because Hideo Kojima always leaves more questions than answers at the end of the games. But without spoiling anything for those who haven't played it yet, the exception in itself in the series is MGSV which completed the series full circle at the end.
The only time I felt empty after consuming a media is after the finale of Breaking Bad. Never have I felt so empty and lost on what to do after. Post-college life does not even beat it.
I tend not to finish them as well. I think I just like the exploration and learning part, then I get bored when it comes time to apply what I learned and power through content.
I finished Yakuza 7 last year after post game depression of Yakuza 6... Needless to say I was depressed but significantly happier than when I completed Y6.
My grandfather died right around the release of psychonauts 2. I played that game nearly non-stop while I did a 100% completion. It got me through the start of that grieving period. I remember being mad it wasn't longer because nothing else released at the time was nearly that good when it came to writing and gameplay. Amazing game to be honest. Definitely in my top 10 all time. But I might be biased because of it being exactly what I needed when I needed it.