The tone of the ending itself doesn't matter, it could be the happiest ending ever written, but the knowledge that this universe has no more stories left to tell, that you don't get to follow these characters that you have fallen in love with any more. Is there a word for that specific feeling?
Do you mean the fear of death?– tchrist ♦Nov 13, 2016 at 1:35
2Wistfulness, perhaps?– MickNov 13, 2016 at 2:57
1Sorry-that-it's-over-ness– Alan CarmackNov 13, 2016 at 3:56
1In several words, I think the feeling you describe is that of “being left wanting more” by the story and its author. JANA KRAMER even tries to capture this feeling in a single hyphenated “word” with “the ‘left-me-wanting-more’ feeling” in line 7 of her song "Whiskey."– Papa PouleNov 13, 2016 at 15:13
Don't be surprised if there's no good exact single word for the concept you are describing. But you can use more than one word and get the concept across better (like in your title).– MitchNov 13, 2016 at 17:09
What you are feeling is nostalgia.
nostalgia: pleasure and sadness that is caused by remembering something from the past and wishing that you could experience it again
This applies even though you haven't quite finished the story. You are anticipating the end, which is imminent, and you at looking back at the story and the characters you fell in love with knowing that you will not be able to experience them the same way again.