I have two dogs .. and one is my shadow. I can't take two steps without him following me. He's been like that since he was a puppy, He is just the type of dog that 'attaches' firmly .. some animals do that. He just needs to be close .. Its a form of separation anxiety. Mind you he's not as bad a some .. I can leave my house and he's fine until I get back .. he will just patiently wait by the door.
Some dogs, however will go nuts .. barking, chewing .. causing a ruckus when you leave them alone... these are just more signs of separation anxiety.