Being a sponsor is a lot of work. It is rewarding work and necessary work but it is still work. Being dumped is not the way to look at it. A good sponsor wants nothing but the best for you. I would not be the least bit offended if a sponsee found someone that was a better fit.
Essientially you are worrying about a problem that only exists in your own mind so just tell him/her you appreciate everything but have found someone else.