It comes off to me as he meant that you don't seem to get lonely or to mind being "lonely," which a lot of people use "lonely" as interchangeable with "alone" even though they don't mean the same thing.

I highly suspect you two are on very different pages about this and that if/when you bring it up to him he'd be surprised about how you took it. Basically, I think he didn't mean it the way you're taking it at all, but only he can tell you that or clarify.