This sounds like https://en.wikipedia.org/wiki/Spotlight_effect In reality it's likely that nobody noticed you much at all, and almost certainly didn't care to analyze why you're by yourself or even if you really are by yourself.
It can be actually liberating to realize that random strangers you're not interacting with couldn't care less about you short of some kind of medical emergency (and sometimes even then...)
It can be more fun to go to events with people. It can also be more fun to go by yourself. Just realize either way people around you are unlikely to care or even notice either way.
Re: "why everyone is questioning why you are there by yourself": This may depend on the area. I lived in Boston for a while and people seemed openly hostile about solo guys. I remember I went to the Enormous Room (RIP: http://www.yelp.com/biz/the-enormous-room-cambridge) one night by myself and got questioned multiple times why I was alone there... The funny thing is that 2 friends I know randomly showed up there on the same night, so I didn't actually end up alone after all... I just go alone sometimes because it is freeing.
Doing the same things in the states, you feel the aloneness more and it is much more rare for folks to do.
One way to tackle this to just view everyone as your friend when you go somewhere. Some of your friends might have bad day, but you know you are friends so you are okay with that and move on to talk with your other friends. "Know thyself" might be appropriate here.
This is from someone who has been sick for several years due to physical illness, has no friends and spends 99% of time by himself.