I feel the same way. I always get very emotionally attached to characters in books and movies and anime. Particularly Ender from Ender's Game and Ichigo from Bleach. A lot of Harry Potter too. Also, when I'm in a tantrum I might throw a stuffed animal or other inanimate objecty like a CD or a book and then I feel regret because I believe I have hurt them and they don't deserve it.
When you feel so strongly about something that "Doesn't Exist", you are pretty much pulling it into existence by having it in your heart and loving and caring for it.