Why do some people (most people I know sadly) think that if you're single you must be so depressed and lonely?

Because they are depressed and lonely when they aren't involved with someone, and they are assuming that everyone else is exactly the same as they are. A person who's working intensely toward a medical or law degree, for instance, might prefer to be alone to have time to study, while someone who is very sociable and has a job that is low on human interaction might want to have someone to come home to. People often forget that not everyone is the same, and that we might feel differently at different times in our lives.

they think that because you are alone than your life is lonely because they want you to be a couple with someone