I'm always going clubbing alone. I can't see anything wrong with it. Sometimes it's even better, because you are not fixed to your mates and can do your own plan.
I'm going on my own to the cinemas and for meals as well. I have gone on my own for holiday to Brazil this christmas.
In my case it's just because I'm new in Sheffield and all my mates are living in my hometown, but it dosn't mean I can't enjoy my life!