Like most people, I partied hard in my late teens and twenties...I don't do regrets, but I can say that those times offered very little value to my life...it's pretty much 'rinse and repeat'... I backpacked around the world and my memories of some countries seem like a blur of alcohol/clubbing with a bit of sightseeing thrown in, token sightseeing...I could have made much more of those experiences...I burned through many relationships too...I don't just mean with women...I mean friends, women and men...
I'm in my forties now, married with two kids and life is great. One thing I do lack is time...I had an abundance of time in my twenties...it could have been better spent...more study, more travel, more sport, maybe more introspection...I always had to be out and in the centre, you know, 'look at me banging my drum!'...I need that a lot less now, that's for sure...
These days I advocate a life of sobriety...that's not for everyone and not everyone needs it...but, try to find activities that don't involve bars and clubs...try something new every month...meetup.com could give you some ideas...I actually believe HK is a great place to live if you're not into the bar/clubbing scene...it's not a big drinking culture...HK is the first place I ever went to a BBQ where there was no alcohol...and that's not because it wasn't allowed or might be frowned upon...it just doesn't occur to many people here...
Anyway...regarding feeling lonely...when I quit drinking something I noticed was that I really didn't have that much in common with my drinking pals...maybe that has something to do with it? Anyway...good luck, whatever your decision.