Edited column from TvTropes because it was very succinct;

Just to clarify why: Klonoa discovers the world he lived in was a fake. He belongs in a different dimension which he will be forced to go back to once the game concludes. He has to say goodbye to Huepow, his childhood friend (most of their memories were fake but it doesn't really matter). A portal appears and starts to pull Klonoa in, and after struggling with his emotions, Huepow tries to keep Klonoa from getting sucked in, because he can't bear to be apart from his close friend. Unfortunately, the portal is too strong. Unlike other partings in media, there's no "We'll see each other again" or even a "We'll always be together", all they do is shout their names in anguish!

Games like Klonoa, Pokemon Mystery Dungeon, Link's awakening.
They were ruthless with their 'goodbye' endings.
These games are for kids dammit. Let us stay in the world!