To share a soul is not a simple thing. To hand it to someone and watch them graft a piece of it onto themselves is something so small yet so profound, you often don't realize it's happened until it's been ripped away by tragedy or anger. Most people go through their lives knocking off bits and giving them away. Some people do it easily, some people don't. Sherlock was always one of those that didn't.
He watched Mycroft in early adolescence, at first giving large bits of his soul to his girlfriends and boyfriends, but as time went on, as his heart broke time and time again, he gave less of it away. Once given, a soul-shard could never be returned. Sherlock vowed he'd never give any of his soul away. (He failed to realize that Mycroft already had a good portion of it—a soul is made up of secrets, of dark moments, of moments of pure light, moments of joy and pain and love and anger, a person at their most raw—and when Sherlock Felt, he turned to Mycroft for help.)
The sharing of a soul is something intimate. Not tied with romance or sex—it's something deeper, something far less physical or even neurological. Science cannot explain it easily. Sherlock realized this when, to his horror, he realized he'd given a tiny little splinter of his soul to the first person he'd categorize as a friend, Victor Trevor. He didn't realize it until they were reunited at a crime scene, Victor on the ground, gun in hand, the perpetrator of a murder/suicide. Then Sherlock closed himself off again. Friends leave. People die. It hurts when a part of you dies with them. He would not share his soul again.
The drug use got worse and worse after that. He babbled when he was high, and he moaned when he crashed. If anyone could see him in both states, they could easily take part of his soul—he was too vulnerable. Unfortunately for Sherlock's vow to never share his soul again, there was one man always there. Greg Lestrade.
So, too, did he unwillingly give his soul to Mrs. Hudson, who looked after him when he was ill, ever the mother he never had. In the fever, it broke off, embedded itself in her soul, desperate to find something to cling onto as his fever reached dangerous heights.
Then came John Watson. Sherlock hadn't lived with anyone since Victor, afraid that by living so close to someone, his soul would come spilling out through the violin or as he talked in his sleep. And it did. They shared adventures and near-death experiences and the sense of loss and anger. Sherlock thought he was closed. Sherlock knew that little powder of his soul was absorbing into John's, but he hoped it was very little.
The day of the Fall made Sherlock realize just how many people had taken his soul. He willingly gave it to Molly Hooper, the only person in his life he trusted with it completely and utterly, even more than Mycroft, even more than John. He gave nearly all of what he had left to give, aware that she'd keep it safe.
As he plummeted through the air to a dinner date with the ground, he understood why he'd done it. He realized why he'd jumped. Three of the largest pieces of his soul were threatened. John, Lestrade, Mrs. Hudson. He couldn't bear to lose any more of his soul. Not after the overdose in his quest to understand why Victor would betray him. He knew the pain. He didn't want it. First floor passing now—and suddenly he realized that Moriarty, too, had stolen a shard. Too many people. Why did even he, Sherlock Holmes, give his soul so freely when he knew it would only end in pain? If he'd never given it away, he wouldn't be hitting the ground.
But the physical pain of the Fall was nothing compared to what the mental pain would have been had he not taken it.