No you are not the only one this is a common way to feel and it is ok, I think even as your baby is born you go through the same thing, you look forward to them growing up and reaching new milestones but then get sad that they won't be a baby anymore.

Organise some special things to do to celebrate your pregnancy, take lots of photos maybe even have a professional do some, make a belly cast, have a pregnancy massage, get some video footage etc etc have you had a baby shower? Do all these things, write a little bit down about your poregnancy. I have always wishes I kept a pregnancy journal and 2.5yrs after ds1 was born I have realised that I could go through and copy and paste all my posts in my baby buddies group with him and I made an amazing journal, so maybe do that to have a record of everything, write a note to your baby abour how much you have loved your pregnancy and remember that while pregnancy is an amazing unequaled experience you have so so many other amazing things to look forward to, 1st cuddles, looking in your babies eyes for the first time, first smiles etc etc etc