Lonely study exchange

So yeah, as mentioned in the title, I'm experiencing a lot of loneliness while on study exchange in Finland. I'm here since late August and I'm staying till the end of May.
I came here with a girl from my home university that I met a couple of months prior, and although I thought we were getting along quite well, she kind of stopped talking to me and focused only on the new people she met here and lives with. It does make me a bit sad but I know I did nothing wrong and some people are just like that.
I obviously met a ton of people here, at the beginning especially. Everyone was hanging out with everyone trying to meet new people and I made some great memories, but I don't seem to be able to connect with anyone to actually keep in touch. It's not just here, I don't connect with a lot of people in general. I don't think there's anything wrong with that but it does make me upset seeing other people here making groups of friends, having people to hang out with etc. while I don't seem to be able to do the same thing. Most of the events organised by the university here are parties, and I'm not a party person at all, especially if I'm supposed to go on my own.
I made one proper friend last term, she's great, but unfortunately she was staying here only till December. We keep in touch and chat quite often, we have plans to see each other when we can. I'm super grateful for her and I do believe that this friendship will last. I know that quality is more important than quantity, but somehow I can't stop feeling like there is something wrong with me. I don't mind being alone and doing things alone, but then why do I still feel like there is something wrong with me for not being able to make friends? I tried connecting with my housemates, but we just don't click. We're polite and have an occasional chat here and there but that's about it.
Did anyone else here have similar experiences? I would really appreciate if you could share those or any other thoughts you might have