My recent project is nearing its full release and I'm terrified. I've been looking at other games that recently released onto Steam (full release, not early access) and found that the majority of games barely broke 1,000 sales within their recent life times (1-3 months). I know 1,000 sounds like a large number but at $5 a copy, that's only $5,000 and in reality is a failure for a business. ... I ensured every game I looked at was an indie title and had little marketing (for a fair comparison to my own game). I always thought full released titles would sell closer to 10,000 or 20,000. I'm deeply concerned for the future of independent developers.
Well, that is bad, but not new. Before the internet was popular and indie game marketplaces existed, lots of us still were making indie games (though the word 'indie' wasn't really used at the time), and dreamed of getting sales as high as $5000. Few people had the internet, fewer trusted it with their credit card details, you had to be willing to accept cheques through the post as payment, and you'd accomplished something if you sold any copies at all. My bestselling game in those days took a year to make, sold about a dozen copies, and we were quite proud of that. (It was called Gravity Fight, and you can still find it online, but not many computers these days will still run it, it really depends on DirectX 7, which modern versions of DirectX aren't really backwards-compatible with due to it being 2D-based, from the time when having any GPU at all in a computer was considered a luxury.)
As you say, most games on Steam sell a few thousand copies. The idea that they usually sell tens or hundreds of thousands comes from the fact that it's the highly successful ones that everybody hears about, and so think of as normal. But that doesn't mean yours is doomed. A lot of games are just clones with nothing to distinguish them from a hundred other games released at the same time - if yours clearly stands out, there's a fair chance it will have better success than average. The same goes if you've made it appeal to some niche audience in some way (which is basically the same piece of advice again I guess, but it bears repeating). It will also probably be more successful if you can release it in different formats, including some free version - in the pre-internet days we'd always decide what games we wanted by playing a demo, and if your game is in GameMaker, there's a good chance you can make a demo/minigame of it in HTML5 that you can publish to loads of free online games sites, which would increase it's visibility no end. I don't buy many games - maybe 6 in the past few years - but 2 of those were because I'd played demo versions of them on Kongregate (though Kongregate itself is difficult to get discovered on, so remember there's lots of other websites like that.)
And bear in mind, you've been looking at the sales they've gotten in the first few months. While sales usually peak in the first few days, as far as I know, whatever level they've reached after a month or so tends to be fairly sustainable for quite a long time after. Maybe those games sold a few hundred copies in the first few days, but then are selling a few copies a day after that. Having an ongoing income from a game of about $10/day for a year or two afterwards wouldn't be so bad.