The bible says a sparrow doesn't fall out of a tree without God knowing it. I believe this verse was God's way of drawing a line of how small an animal can be to still have the spiritual capacity to warrant love. A sparrow has always been the limit for me. I feel nothing in killing a spider or any bug, but I avoid killing unnecessarily anything the size of a sparrow or bigger.
We've all seen dogs and cats protect their human companions, not so with cockroaches.