I have always heard that you need to "practice" leaving him. Get your keys and bag, saye bye, and I'll be back (make "I'll be back" a key phrase when leaving). Leave for five minutes and then come back. Don't make a big deal of leaving or returning. Wait a few minutes before you go greet him upon your return. Then later leave for 10 minutes and keep upping your time of absence by five minutes or so. He should learn very quickly that you will be returning home and that you are not leaving him forever. Do you leave the tv on for him when you are gone? I have always left the tv on when I leave so they don't hear noises outside and get scared. I always opt for a news channel, so that there are no unusual sounds - just mostly talking. Some people leave animal planet on for their puppies!
You could leave a radio on, too, if you wanted. I hope this helps you. I know how you feel when you have to leave him. Heck! I have always felt that way. I never get past feeling bad!