Blockzilla is right (to a degree); He is correct about how people don't feel sad about a loss that isn't significant to them. However, I don't agree with his thoughts on how people don't feel Empathy. They certainly do, but here people have been using it as a synonym for Sadness, and that's entirely incorrect.
I wouldn't be sad if I was a witness (not victim) of 9/11, titanic, or the holocaust. However, I can think about the situations and generate a general feeling of "man that must've been terrible, I'm so sorry!" about the situation.
Titanic must've been horrible, the holocaust is must've been an absolute nightmare, and getting crushed by a skyscraper is something I definitely wouldn't want to have happen. I can understand the sadness and feelings that other people get from these situations, and console them about it. That doesn't mean I care enough to actually get legitimately sad from the problem though.
Say my friend tells me their parents got divorced. Man, that must be stuffty, and I feel their pain, I wouldn't want to go through it myself, but in the end I don't lose any sleep over it. Empathy isn't a replacement for sadness, it's a way of understanding someone else's problem without putting your own mind "at risk" of getting upset or frizzled.
You can be as empathetic as you want, but that doesn't mean you actively care about the situation. It's more like, the victim gets 15 minutes of fame with your feelings, and then you're done.