Sherlock doesn’t want to admit it, because he feels as if it’s childish, but he considers Lestrade one of his friends.
When he first arrived, he would go to Lestrade if he needed someone to talk to because he knew him from the Ministry whenever Mycroft took him there. Lestrade was a sort of “family friend,” though not really at the same time.
He misses this, and he’ll never admit it, but Lestrade actually means a lot to him.