I do that too.

Actually I don't watch movies that are about animals, even if it's a 'happy' movie. I always find something in the movie that upsets me, even if it's something as little as feeding the dog pedigree. I'll dwell on it and it will ruin the movie for me, so I just don't watch them.

Of corse even movie that aren't about animals often have animals in them. I get really upset when something happens to any animal in a movie.