I started going to shows alone about nine years ago and I’ve never regretted it! To set the scene, I mostly go to small shows with 20 to 150 people there. I am 50, have social anxiety, and almost always the oldest person in the crowd, sometimes decades older than anyone else.
As soon as a band I love starts playing, none of that matters! It’s just joyful!
If there are artists you love, you owe it to yourself and to them to go see and support them!
*that said, I’m a man and all this could be much different for a woman! I think people will look out for you, though. I know I do (but from a distance - I really don’t want to look like an old creep!)