I used to be pretty solitary, but not lonely (I could be a hermit without too much distress). However, I'm somewhat qualified to answer anyway.

It's intimidating, because you know that you're not a gregarious person (otherwise you'd already have friends), and you don't have much to add to a social situation due to lack of experience. You're inevitably going to be the third wheel.

Also, 'friends' are kind of a bootstrap issue. If you don't have them, it's far more difficult to make more. A friend turns into a circle of friends any one of whom might lead to a new circle, etc. With no friends, you don't have that starting place to get more introductions from.

Then there's desperation. It isn't attractive. When you want friends like you want your next meal instead of like you might want a good book to read... it makes you less attractive as a potential friend.

The answer, of course, is to go out and do something, which may or may not lead to making new friends, and just let it happen. Take up a sport, pick up a hobby that's at least semi-social, and enjoy it for its own rewards.