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.