She is asking "where are your friend" not "I want to be just friends".... Thus I am thinking she may just be testing you and looking for a kind of "social proof" type thing. Here is the thing, women are programed to be attracted to "alpha" males. Now I hate using the term alpha, because it is too one dimensional, however it is kind of true in an innate psycho/biological way. Ones who are considered alphas of a species are ones that have strong social circles, and often play a dominant role in the social circle (the leader of the wolfpack that fvcks all the females in the pack).
Thus, women have a tendency to be attracted to men who have a strong social standing. A man who does not have an active social circle may be seen as boring or aloof which are undesirable traits in a mate. Thus, she may be interested in you enough to at least be testing your qualities.
I get this question a lot too because I tend to go lone wolf a lot myself. If you have friends then point them out and show her you have an active social circle and try to show that you are a dominant member of that circle... If not then come up with a witty response to it, or deflect it to her... Say something like: "I like hanging out with my friends but the problem in meeting people through my social circle is that I always meet and see the same old people. I am an adventerous person so I thought I would go out myself and meet new people. And you, are you adventurous enough to meet new people?"
^That affirms that you have friends, but gives her a reason as to why your friends and spins it in a positive way and also engages her as a new person you are meeting and challenges her directly and engaging her.