Yup. Happens all the time. I suspect that people in need of sympathy/compassion subconsciously pick up on the fact that I have Fe. -_-
For me personally, it really depends on who is approaching me with their concerns. For instance, if it's one of my super-close friends, and it's the first time that they've shared this particular concern with me. I'll usually listen whole heartedly and try not to interrupt with my immediate thoughts. I'll feel the need to be attentive and respectful of their expression (since they coming to me with a new topic, as well as potentially taking a risk on me by sharing their concerns).
If one of my more distant friends (or acquaintances) approaches me with a concern or problem, I initially attempt to treat them as if they were a close/personal friend. Primarily because they have not broken my trust previously and I have no former negative interactions with them. Thus, I try and "do unto others" in this situation, until they turn out to be needy, petty, or untrustworthy. After which I'll usually take steps to defend myself from their leech-like ways.
And finally, if I'm dealing with a known offender. The kind of person that asks for my advice but always does the opposite. I try and protect myself by constantly reminding myself that
this person isn't trustworthy, considerate, or your equal in terms of maturity/understanding. Honestly, I have tons of former friends like this, the kind of people that gossip or create drama just to try and see my kind/considerate/attentive/analytical side. Truthfully, the more that they prove to be untrustworthy, the more I try and distance myself from them as a matter of self preservation. I wish them well, but I would not call them friends.
I feel like I sometimes wear a mask when dealing with advice seekers. Especially if they have proven to be untrustworthy. There might appear to be tolerance on my part, but internally I'm reeling at the thought of having to listen to this person's problems for the next thirty minutes. So yea, I always continually aspire to protect myself from such people. Not to be the guy that always quotes Darcy, but yea...