It’s happens to me after I dreamed about Anima, and when one time I dreamed I played into the movie back to the futur. I was sad when I woke up haha…
Wow, I totally had one of those days today 
I’ve certainly had a variety of dreams that leave me sad when I wake up. Especially the first time I traveled overseas without my family. For the first few weeks I had dreams almost every night of rather normal content. But in each dream I was with my family at home just hanging out, and sometimes we would be eating food. I’d wake up convinced that I was in my own room and could go downstairs to see my family. But after a few seconds I would remember where I was which always me really sad. I only had one day of homesickness though, when I had nothing else to do. No surprise that my homesickness manifested itself in dreams. Thankfully they went away.
I’ve had dreams where I’m shopping, or I get this one item I’ve really been coveting, and I’m holding it in my arms, but as I wake up I feel it vanish. as a child I would have lucid dreams where I was holding the thing that I wanted, and was convinced that if I held onto it tight enough it would be there when I woke up. no such luck. it’s so cute how we believe in magical things like that as a kid.
I sometimes dreamt of being dead or rather living as a spirit in the afterlife.
The feeling of happiness and freedom I felt there made every awakening
a very sad moment.
This happens a lot to me, but in a slightly different way: all my dreams are very realistic, but unfortunately I have more nightmares than good dreams and I often wake up feeling sad because it takes some time for me to realize it was a dream and not reality. It may take only 10 seconds or so but the mood tends to stay for a couple hours, weird huh?
Ah, those dreams seem to happen once or twice a year. Though it’s hard to think of anything specific, I know for a fact they happen to me and I always feel so disappointed/sad when they end.
I remember when I was about 8, I had a dream that I was a Jedi. I was incredibly depressed when I woke. Now, those “why-wasn’t-it-real” dreams are more realistic.
Last week I had one of those, but instead of waking up I became lucid, which off course also makes you realize it’s just a dream and will wake up shortly (which happened 10 seconds later).
I don’t have that frequently, but I remember having dreams in which I was sitting in front of a new super awesome computer, for example, then waking up, and feeling sad.
I also know the opposite though. I dreamt that I broke a great laptop I actually got in RL before once, then woke up and thought, yeah was just a dream.
I wake up sometimes with a specific feeling… Like you wake up, and feel very happy for no reason at all. But I’m not able to remember anything of the dream then.