Why do i feel bad when i leave my first new dog i just got?

everytime i leave my house, i want to cry because my new dog crys and whines. why do i do this? should i keep him or take him back to the shelter or let someone else have him? i didnt think it would be like this. i love having him around but i wanna cry because i feel bad for leaving him and he is whining and crying every time.