Well maybe because he died and he died because he was trying to protect Rose and you thought that it wasn't fair that he had to die for Rose even though Rose didn't love him back and also that Rose only dated Mason because she was jealous of Dimitri...

Becuase in love Bimitri you are sorta in Rose's Shoes so if rose feels really sad about Masons death you are bound to also.

cas you have a heart and also what the other answers said! anyone feels bad if someone dies for another especially when one sided love is involved!! i felt bad just reading how he loved rose and she doesn't feel the same way!!! and them poof dead :'(