If he understood anything, it was that people worked best together. They helped each other, stood by each other, protected each other. So he understood without any doubt the need to protect the people you love. He did, no matter how little he showed it.
Like when Jayne needed to think this over, he would do weights, and the Shepard would spot him. When Kaylee got upset she went to Inara, when River went stir-crazy Simon would be there. Wash and Zoe were always there for each other. And when he got confused, he just had to take a walk – there was a whole crew there to make him feel. He'd rescued each one of them from some personal demons – Alliance, war, gangs. He'd helped each of them, and they helped him, even when they didn't know when they were doing it. Their presence was enough to bring him back.
They were his crew, but more than that, they were his family. The only family he had. When he needed them they were there, and he did his damndest to make sure he was there when they needed him. He was their friend and their protector. He was their Captain and that meant he had a duty to look out for each member of his crew, even if they thought they could look after themselves (cough, Jayne, cough).
He kept them together, and kept them alive. He was there, he was always there, just in case something went wrong e protected them from the outside, the Alliance, and even from each other. No member of his crew got away with double crossing another, not even if it gets them more money than God (cough, Jayne, cough).
Mal understands what it's like to have your world ripped away from you, so he does his best to provide a new world for his crew – one that no one will destroy or take away. No backstabbing, no war, no outside. He gives them a family, a home and a job. He gives them something to hold onto. Something that he wont let anyone take away.
He gives them a sense of belonging, and they give him something to live for, something to look forward to.
So he understands the need to hold on to someone with all you've got. That's what he does every day, every job, with his crew. He protects them, because he's their Captain. Because they need him to.