Nothing weird with that. Some years ago, I never did either. But some games are just meant to be played online. Play L4D with the AI controlled characters, and you won't get the full experience.
Now, I might have something regarding this topic that is weird. For some reason, I never play online with my pc. I don't know why, but... I just seem to have some weird aversion against it. My computer is not bad, it's not the newest gaming monster, but I play new games without lag. But for some reason, I just... won't. It's a subconsious thing, and I have no idea why. Only game I ever went online with was Warhammer Online. Maybe it's that I've never played online on my pc, and only started doing that on my PS3 when I got that. It might just be... habit, or becuase "that's the way things are". I don't know.