Yes, you should have. If you are not used to running for a small group, and for some reason, feel embarrassed because "no one showed up," the best advice is I can give is - get over it. I have had great sessions with just two players.
I will stand by the same statement I make with four players or eight players:
For D&D, the best number of players for running exploration is 3. The best for combat is 4. The best for roleplay is 5. Obviously not law, but it seems to hold true. Doesn't make the others bad, but it does make those numbers stand out as great.
So, get over the small table, run it, throw in a lot of exploration (because small groups are fun to have exploration with), and play anyway.