Oh and yes I've had the situation where I've had three horses and if I took one away the other two would get upset. As I was working with the horse and the other two were in the paddock I couldn't exactly ease their minds, so I left them to get on with it and went for my ride.
Came back and the boys were grazing happily and had got over the stress of seeing their mate leaving sight.
It's just a horse thing. Once they've got their little herds they like to keep to them. All we can do is work with them and just remind them that you're boss :)