A lot of people who get into pickup use it as a way to downplay the pain of rejection, stating how it's "just a game". It's a good way to deal with insecurities and trust issues, but it seems like you've realized that the kind of relationships you're forming aren't all that emotionally significant.
Perhaps the reason why you're lonely around the holidays is because that time of year is dedicated to families. It's a time when we can be with people who love us unconditionally. It is a time where people come together and can feel a sense of safety, security, and belonging. If you're feeling depressed around these times of year, perhaps that is your heart telling you that you don't feel that kind of connection with the people you're meeting.
I would tell you to learn how to be more vulnerable with the people who you're around. Yes, it means you're more susceptible to things that can cause emotional pain, but it also means that you open yourself up to the possibility of connecting with somebody on a deeper level. Maybe that connection could even forge a bond of trust that evolves into a caring relationship. Regardless of whether it's one of your guy friends who you can bond with as a brother, or a woman who you can consider your special somebody, it is critical for healthy human beings to form trusting relationships. While we may be sexual creatures, we are also social creatures.
It might even be an interesting experiment to see what kind of connections you could make if you take sex out of the equation.