Found this link...
Every time I've lost a dog, it's been a complete gut-punch. More than when grandparents died. More, even, than when my dad died.
For me, I think it comes down to the responsibility component combined with the "they can't talk" problem. I wasn't responsible for the lives of my relatives. Even if I had been, that responsibility would likely have come in the context of caring for someone in decline - that the trajectory was known and the responsibility was simply to help them to the best end that medicine, society and finances allow. With dogs... There's so many places you can feel guilty. Did I put them down too soon? Did I do enough for them? Did I wait too long to put them down. Did trying to help them just put them through more pain? Did I do enough to help them through what has to be a frightening process?
Dogs can't talk. You can try to read them, but it's still, in the end, just a guess. When people talk about "wouldn't it be great if pets could talk?" I always answer, "no, I don't really want to try to have a conversation with my dog. What I _would_ like, though, is to know what their state of wellbeing was - how best I could help them feel better or have them ask me for comfort or help letting them go."