It really is hard to ever leave them even to go grocery shopping.
I don't know if this will help but I saved my yorkie's favorite treat (BilJac liver) and cut in half. I'd take her for a long walk and then the only treat I would give her was one half of that little treat.
At first it didn't register but after four or five days she was so excited to see me leave (which wasn't exactly great for my ego) but at least she wasn't sad to see me leave. Coming in you don't make all over them and just say Hi.
It's when you leave you have your fun.
I'm so cruel but it worked, she would see me go to get my purse and do a little dance. lol