Maybe it didn't have a fulfilling ending or the story lacked depth. Sometimes, if the characters' development isn't satisfying, it can leave you with that empty feeling.
Scary stories can make you paranoid because they often play on your deepest fears and imaginations. They trigger your brain to envision threatening scenarios that might not exist in reality.
It could be that dog stories remind us of the unconditional love dogs offer and the pain of eventual separation. They make us feel empathy and reflect on our own relationships and vulnerabilities.
Well, it could be that their stories and struggles touch on themes that resonate with our own lives. Also, the way they're portrayed makes us empathize and feel for them.
Maybe it's because you can relate to the characters' struggles or unfulfilled dreams in those worlds, and it brings out a sense of empathy and longing within you.