The title does a lot of quiet work here. An anchorite is someone who withdraws from the world to live alone, usually for religious reasons, and the poem's three short lines sketch exactly that kind of life: harsh weather outside, a single candle, a person sitting still in meditation.
The middle line is the surprising one. "I never need better friends" could sound lonely, even bitter, but next to "wind and cold" it reads as genuine contentment. The speaker seems to count the weather itself as company. Its rawness doesn't threaten them; it keeps them alert and gives them something to sit alongside. There's also a hint of dry humor in the line, as if the speaker is gently shrugging at the idea that they're missing anything.
The mood is calm, spare and a little austere, but also warm. The candlelight at the end is small against the cold, yet it is where the poem settles, and it leaves a feeling of peaceful, chosen solitude rather than isolation.