Tony just does not feel close to anyone. He feels alone because although he can get to know someone (a woman) quite well on a friendship level, he doesn't know how to get beyond that to a more intimate level. This is depressing him. This is an example of what interpersonal psychotherapists refer to as an:

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An interpersonal deficit refers to a lack of interpersonal skills or abilities, such as difficulty forming close relationships or initiating intimacy. Tony's inability to form intimate relationships despite having strong friendships suggests an interpersonal deficit. A role transition involves a change in social roles (e.g. becoming a parent), an interpersonal loss involves the grief of losing someone important, and an interpersonal role dispute refers to a conflict or disagreement with someone in a close relationship.

Tony Just Does Not Feel Close to Anyone