Of the three scenes in which Macbeth sees apparitions or hallucinations, he's actually only alone on stage in one of them. When he's visited by the bloodied corpse of Banquo at the banquet, he is accompanied by his wife and several lords. In Act IV, the witches share the stage with him as he receives the series of visions and prophecies which guide his actions through the remainder of the play. So I assume you're...
Of the three scenes in which Macbeth sees apparitions or hallucinations, he's actually only alone on stage in one of them. When he's visited by the bloodied corpse of Banquo at the banquet, he is accompanied by his wife and several lords. In Act IV, the witches share the stage with him as he receives the series of visions and prophecies which guide his actions through the remainder of the play. So I assume you're referring to his hallucination of the "air-drawn dagger" shortly before the murder of Duncan. Perhaps the most straightforward reason for why Macbeth receives this portent alone is to create a degree of ambiguity as to whether the dagger is a "false creation," an illusion emanating from Macbeth's own mind and desires, or a genuine supernatural manifestation. This in turn reflects one of the play's largest thematic questions, which is the uncertain relationship between human will and predestination, unknown and possibly malevolent forces which guide our actions and fates. We know that supernatural phenomena occur in this play, because the witches' prophecies are accurate (though deliberately misleading), but we also see that apparently paranormal happenings (like the march of Birnam wood toward Dunsinane) can have more rational explanations. We're also given reason to believe that Macbeth suffers from some non-specific neurological affliction which causes visual and auditory hallucinations; upon his rapt reaction to the ghost of Banquo, Lady Macbeth anxiously tells the guests "my lord is often thus, and hath been since his youth... the fit is momentary." She could arguably be lying about his medical history, of course, but it tracks with what Shakespeare has shown us, since Macbeth has had two prior hallucinations in the play, immediately before Duncan's death (the dagger) and immediately after (when he hears a disembodied voice cry "Sleep no more!").
So by placing Macbeth alone on stage when he sees the bloody dagger pointing his path to Duncan, Shakespeare achieves several functions at once. By creating an atmosphere of ambiguity about the objective reality of this uncanny event, he presents a visual metaphor for the play's central, haunting question, regarding Macbeth's degree of control over his own actions. He also preserves for later (the banquet scene) the spectacle of Macbeth terrified by a vision that no one else can see. Finally, he reinforces Macbeth's extreme degree of isolation and feeling of imprisonment within his own haunted thoughts in this decisive moment; this dagger vision is the very last scene prior to the murder of Duncan, which strengthens our uncomfortable sense of identification with Macbeth and our awareness that it is ultimately he alone, and not his wife, who takes the final murderous step; although agreeing to commit the act is their moment of greatest unity as husband and wife, the reality of the deed itself begins to drive them apart and to divide Macbeth from the rest of humanity.