I'm not doctor, but this means you love those you dream of.
It shouldn't make you sad, you should be happy that you're sacrificing yourself for those you love, and also remember it's only a dream, it isn't real.
If these continue to happen, tell your parents, if that doesn't work get a psych doctor.
The re-occurring dream I've been having involves me chasing down people I've seen before but do not know, I'm seeking help because I'm quite scared myself.