In military life, this is a common dilemma for us. Recently my husband was gone for an extended period of time, and my son missed him very much.
It's important to listen to your children when they are feeling down. Let them express to you how they are feeling, and give them your full attention when they are speaking to you. Talk about the situation to your child and remind them of why it is important that the missing parent is away. For us, I usually reinforce why it is important for my husband to be away for his training, or deployment and that as a Marine he not only protect us as a family, but the families all over the country and the world.
I also like to find a little soother, or what I sometimes call a heart band-aid. For us, it's a big cup of hot cocoa. After a round of tears, hugs, and cuddles I find a cup of hot cocoa usually helps to heal the heart and soul for the moment, and brings a smile back to my sons face.