I wrote about letting go of things for the Winter Solstice in this post. For some of you, this may include things you never had.
Building up a cherished fantasy (about a relationship, goal, plan, whatever) and then having to release it can be deeply painful. This is Neptune; it creates an illusion that can feel so real, but it undermines your life. Neptune fantasies can be more painful than reality, because they are hooked into your ideals. Who wants to give those up?
If you're going through a tough Neptune transit (it might be squaring your planets in Sagittarius/Gemini, or opposing your planets in Virgo), you may be experiencing this. Or if you have a natal square or opposition to Neptune in your chart, this might be something you live with. When the fantasy starts to drain the life from your reality, you know it's time to quit. Be gentle on yourself, and allow a period of mourning. Your loss is real.