I would say for most celebs, a majority of their friend pool is other celebs or people connected in the business. They also probably have "regular" friends too and met them like the rest of us. I would think a major reason for any caution on befriending someone new is that skepticism that they want something from you. As with any big change involving money, fame, status, you find out who your true friends are...Also most of us regulars can't afford to hang out at places where celebs frequent.
As we are seeing now, many of these recent "celebs" were once just friends of other celebs...I'm looking at you Kim Kardashian and Nicole Richie!