I do the same thing with all mediums - video games and TV shows included.
I'll finish something, and just go, "Well, shit." I've spent so much time figuring out what to do, what happens next, and what's important for later, only to just get completely dropped. It seems like no author has really mastered closure. When I get to the definitive end of their piece, it doesn't feel like the end - it feels like there's a whole other story left over that I need to get through. Things just end off with the main characters being mainly safe, or the main battle is over. There's no telling of what happens next, how things turn out, or whether or not this is really the end of the story.
I always just get more questions than answers. It really irks me, because I want to know what happens afterwards.
Yes, I know exactly what you mean! This may seem counter-intuitive, but that's actually why I love books that are in a (short) series. It's true that you have more time to get attached to the story and characters, but the author also has a lot more space in which to construct a proper and satisfying ending.
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