Vronsky: Do you live in the country all year round? I should think it must be rather dull in winter. Levin: Oh, not at all ... if one has work to do. Besides, you can't be dull in your own company. in your own company = alone / by yourself / not with other people Levin is suggesting (I think) that when you are alone, you obviously cannot bore other people. Hope this helps! Thanks!
Thanks again for your help. On second thought I understood.