I don’t know if celebrities especially Michael is lonely, but celebrities even those who are single may not be lonely if they stay out of the spotlight. I think many people including Michael Jackson wanted his private life to stay private. I don’t think that means he was lonely. Michael was married twice and therefore had a spouse. He also had three children.
Anyone who has children especially three of them knows that they are never lonely because children make a lot of noise. Michael Jackson may have been lonely when he was a child because he was the youngest in his family by far. So, he was lonely because he would tour with his siblings who were much older at the time.