I have. In fact, I do that very often. I would rather be left alone than to feel alone when I'm with a group of people. The latter, some said, is the worst form of loneliness one would experience.
I enjoy every bit of being alone. It gives me an opportunity to talk to the Lord, and being rest assured that He is always there listening.
Sometimes, I wish I could see and touch Him. Why not? Being a human, no matter how strong a person is, he / she still needs companionship, a shoulder to cry on, a loving embrace. It is even more so when we've loved Him for so long, but never been able to see Him face to face. At least not yet, not now. But I believe that whenever we call upon His name He is there with us, with His hand on our shoulders. Even though alone, His presence makes us feel secure and peaceful amidst our suffering and sadness.
If you feel lonely one day, why not try to imagine He's there and talk to Him as you would to your closest friend. Give Him a chance to be your friend.
"Fear not, for I am with you." (Is 41:10)