Another interpretation of the movie
Yes, it's a very sad movie. About a man who can't find himself in our reality, our social rules, way of life.
But what about humanity driving forces - always looking ahead, try something new, live in avantgarde?
If you look from another angle, that human always curious about everything surrounded him, including himself, always in search for something, better place, more money or another feelings - wouldn't this choice to change his life be an act of courage?
Just because it didn't work it doesn't mean Arthur has been defeated or whatever. I would say completely the opposed, he had bravery to change his life, to do something with his frustration. And I think he realized in the end what he really needs, even if it was too late. You could notice he didn't want to die (or sacrifice his life).
He needs a freedom from social ties, from his tailored life. Freedom of choices and a way he wanted to live. That's why "company" didn't work out, it was another even more strict life, a false one.