I wonder if you are taking this quote from an essay by May Sarton entitled "The Rewards of Living a Solitary Life."  If so, here is what the quote means in context:

She is saying that people are really only alone when they are with other people (or at least this is true for her).  She says that when you are alone, you can be yourself -- your true self.  By contrast, when you are with other people, you have to be someone else -- you cannot be your true self for fear of offending others.

So really, she is using an unusual definition of lonely here.  She is really saying that you are lonely if you are not yourself.  If you are alone, you can be yourself and therefore you will not be lonely.

When you give quotes like this, if you can give the context, you will get better answers...

I am not sure of the context of your question. This is a line from a song, "Never Lonely Alone."  The lyrics refer to "a voice in my head."  Aside from the song, though, the meaning to me is that even when I am not with other people, people who are important to me, whom I love and who love me, are with me in a figurative way, in my mind and my heart so although I am alone, I am never alone. As the song does note, we do all have "voices" in our heads as we think to ourselves and amuse and entertain ourselves with what is already in our minds. If there is some other context within which you are trying to understand this line, let us know and we will try to help.