No, going to a movie theatre alone is not weird.
I, personally can't comprehend the idea of going to a theatre with other people, it just doesn't make sense to me (If I plan to meet up with friends/family, it's usually because I want to see them and talk to them, not to sit in silence next to them and pay literally no attention to them) the only "Going with other people" I understand is when you're taking kids that are too young to go alone.
I mean, sure it can be nice to have that instant person to talk to about said film, but more often than not there'll be people who've already seen the film in another theatre that you can talk to on the phone/through the internet (AFTER the film has finished... NOT during the film)
Going to a movie theatre is an experience, it's a completely different way to watch stuff than on a telly via DVD/Blu-Ray (Even if people have home cinema systems, turn off the lights and put the volume up and make popcorn etc) if you enjoy this experience, then there's no reason you NEED to have someone else there.
Watching DVD/Blu-Rays on the other hand, they can be enjoyed by groups of people, usually because people don't always watch things for the first time on this format so it's a lot more likely that you can have a bit of a chat whilst the film is playing.