Depression? I wouldn't go that far either, but I always feel sad after reading a book because the story is finished. Especially if it's like a trilogy and you know that the story is done for good :(
But that's why there are other books, more places to dive into escapism and feel happier. Perhaps you should try to remember that all good books have to come to an end. I get over my sadness with another book, or another story. I'm a game enthusiast as well, so I even get sad after finishing a game with a good story. It never happens to me with movies though, strangest thing.
Maybe it's because when I read a book or play a game I get brought to another world and I realize that my life isn't like the ones in books or video games and that gets me depressed, though that depression never lasts long as I remember that my life may not be as epic or interesting as the ones in stories and games, but it's still pretty awesome and I know I'm blessed...plus there are other stories to explore, and when I finish a book I see it as an opportunity to dive into another world, and when I feel like it, it will always be there for me to come to.