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In context, Anne is referring to the fact that an outsider would see her as having anything she could ever have wanted; friends, a great family, a good home..... but in reality, the one thing she was missing was someone she could confide in.
Let me put it more clearly, since no one will believe that a thirteen year-old girl is completely alone in the world. And I'm not. I have loving parents and a sixteen-year-old sister, and there are about thirty people I can call friends. I have a throng of admirers who can't keep their adoring eyes off me and who sometimes have to resort to using a broken pocket mirror to try and catch a glimpse of me in the classroom. I have a family, loving aunts and a good home. No, on the surface I seem to have everything, except my one true friend. All I think about when I'm with friends is having a good time. I can't bring myself to talk about anything but ordinary everyday things. We don't seem to be able to get any closer, and that's the problem. Maybe it's my fault that we don't confide in each other. In any case, that's just how things are, and unfortunately they're not liable to change. This is why I've started the diary.
The Diary of a Young Girl by Anne Frank