Of course they get lonely. You can feel lonely when surrounded by a lot of people. Those fans don't really care about them; and the people who "would love to be their friends" just want popularity or money; there are also some who are simply obsessed with them, and you wouldn't want someone like that in your life.
Its been said Marylin Monroe was the loneliest person ever
The problem is that they don't know who their real friends are, and who just wants to be around them because of their celebrity status. For a celebrity, real friends are few and far between. Despite his fame, fortune, and fan base, Michael Jackson called himself one of the loneliest people in the world.