Try not to talk it too personally. She might not have meant she doesn't have "any" friends, but rather she doesn't have a group of friends. I've never really been a part of a group that meet up and do things together, my friendships are more one-to-one friendships.
Sometimes I feel left out because I know that other people do things in groups and have fun. So I have been known to say "I don't have any friends" which is not technically true, but it's not exactly what I mean. I mean that I'm jealous of people who get asked out places. I feel like I'm always the one who has to organise things or I would never go anywhere with anyone.