Kierkegaard is well-known as a philosopher of loneliness, a man well-acquainted with its sorrows, choosing to cultivate its sad mystery instead of releasing himself into the world.
By the grace of God, we are not called to live a life of loneliness.
God the Father sent his Son Jesus Christ to die for us, to reconcile to the Father, and to make us one with Him:
"That they all may be one; as thou, Father, art in me, and I in thee, that they also may be one in us: that the world may believe that thou hast sent me." (John 17:21)
Before this prayer, Jesus promised that, though He would leave the, He would then come back and stay with them:
"Nevertheless I tell you the truth; It is expedient for you that I go away: for if I go not away, the Comforter will not come unto you; but if I depart, I will send him unto you." (John 16:7)
This Comforter (lit. Parakletes, One who walks beside, advocate), is the Holy Spirit. Therefore, Jesus comforts His followers, both those before Him during His ministry on Earth, and those of us now who believe on Him, by sending us His Holy Spirit.
This third Person of the Trinity has for too long been ignored. He is essential, and He loves us. We cannot even confess that Jesus Christ is Lord except by the Holy Spirit, and by belief in heart and confession of the mouth we are saved!
Kierkegaard, and mainstream theologians keen on the human mind, gave the Holy Spirit little attention, assuming faith to be a product of the mind, as opposed to an unshakable gift of God. This Holy Spirit comforts man through all of his trials, comforts him in all of his difficulties, gives him wisdom to overcome, gives him power to do all things. It is the Holy Spirit who makes Jesus ever present with us, though he is also sitting at the right hand of the Father, ever interceding for us.
We need never be lonely again, as long as we receive that we have received His Holy Spirit by faith living in us!