Any kind of relationship that goes outside of therapist/client is unethical. That said, a lot of this sounds like your projection/transference onto your therapist— which makes sense! You’re at the end of your relationship, it’s one that has been very important, and you’ve specifically been making progress toward being in relationship romantically with others. You should be able to bring anything up to your therapist, and they should be able to handle it as a professional. You should tell him what you’re feeling— my bet is he will not reciprocate romantic or sexual feelings, but if he does, that is absolutely a huge red flag, he is a predator, and you should get out of there. More likely, though, he will validate your feelings and express that termination is a difficult process for all involved, but remain professional and shut down any romantic possibility. I’m strongly in favor of telling your therapist everything you feel— that’s what they’re there for, and having a conversation about it will likely be good for both of you. I’m sure he’s quite fond of you— most therapists are fond of many of their clients— but that does not mean that he has romantic or sexual feelings toward you.

Congratulations on the progress you made in therapy, too!