I am never less alone, than when I am alone; for then I can enjoy the presence of my God most freely, fully, and sweetly, without interruption.
The quote is from Ambrose (Became Bishop of Milan in 374). He speaks of the wonder and peace that he experienced in private prayer with the Living God. This aligns with the promise from Jesus in Matthew 6:6.
But you, when you pray, go into your room, and when you have shut your door, pray to your Father who is in the secret place; and your Father who sees in secret will reward you openly.