I always play with him because I'm afraid I will lose him too

you sound like a very kind person and that is a wonderful thing.

I worry about losing my dogs all the time and this is just a normal part of the pet ownership experience. It is a tragic aspect of it knowing that we are definitely going to outlive all of them, but the thing to try to keep in mind is that you are making that animal's life amazing, truly amazing. Don't feel sad when it is over, celebrate the joy that you brought into another creature's life because of your kindness.