Four- and five-year-olds tend to complain a lot about not having friends. This is because children at this age start to become more aware of friendships, exclusivity, who plays with whom, etc. It might be worthwhile to look at your own reactions when she tells you this.
Do you become really perturbed, concerned and anxious? Or do you just accept it and say something like, Gee, that's too bad?
Kids pick up on and are affected by OUR reactions to what they say. It's as if she is looking to you to determine how upset she should be about the situation as she perceives it. If she senses anxiety in you, it will feel like a bigger problem for her. If you talk about it with a sense of confidence in her, she'll probably adopt that attitude too.
It helps if parents can convey the confidence that their kids are just fine and that sometimes you find a friend and sometime you don't. This doesn't mean you disregard what your child is saying. You can empathize, support her and acknowledge her feelings. Try sharing similar stories about yourself when you were a child and let her know that everyone feels this way sometimes. But do this with a sense of confidence that you know she's a good friend and that there will be better and worse times, as there are for all of us.