How do you feel when you start something new -- a new job, a new book group, a new club? I always feel apprehensive even though I'm excited -- the fear of the unfamiliar. If I were 3 or 4 years old and hadn't yet developed coping strategies or had a lot of other experiences with new things, I'd cry. For most kids, the anxiety tears only last a few minutes, and then they are on to new things and enjoying the experience. My mother was a preschool aide for many years. In all that time, she only saw one child who spent most of his days crying -- and the teacher let his parents know that he was struggling and wasn't ready for preschool.
As parents, we have the difficult job of deciding whether our child is ready or not. When my kids started school, there were a few tears, but they were over within minutes of my leaving (my presence fuels their tears -- much the same way in which they only cry over a minor bump if they know I am watching). If the tears had lasted longer than that, I would have reevaluated my plans-- but then, if I had expected the tears to last longer than that, I wouldn't have been trying preschool yet. But pulling them out of preschool because of a couple of minutes of anxiety tears would have deprived them of an enjoyable growth experience.
Good luck finding what you want -- here in Colorado, preschool is only 2 or 4 days a week, so you are in a more difficult situation than I was.