I enjoy playing music alone. Not as much as playing with others, or for others, but it's still a good time. When you're alone, not having to worry about anyone hearing what you're doing, that's when you're free to try new things, experiment, learn, refine your craft. Hmm, I think some people call that "practicing" but I've found that that word has negative connotations.
But there's still the awesome feeling of creating. Making music. I can't draw or paint worth a shit, I'm okay at cooking and baking, but baby, give me an instrument and I will create.
Someone upthread compared playing music alone to other crafts, like making models or painting. I can totally see that. I suppose that for a lot of people, part of the fun is in sharing what you've done, but there are people who just enjoy the process. Heck, some people sit and do crossword puzzles or Sudoko for hours. It's not exactly something you can share ("Dude, I just finished my third puzzle book in a week! I rock!") so obviously it's just done for the fun of it.