Well....
I dont know..
But i'm guessing it's right in there with talking to yourself (which i do. lol!) when no one is around..
If it's not harming you, I dont think it would be a problem.
Probably a coping skill you learned that worked, and then stuck to it, because it did work.
This is your life, please dont let anyone tell you how or how not to feel, or how or how not to think... You gotta do whats best for you!

If you know they are imaginary and you know they are created by you, then... I wouldn't see a problem in it.
But If that wasn't the case I would be wondering about hallucinations, or a dissociation form of some kind...

Some of us have more childlike minds... that's not a fault... some of us have greater imaginations than others.. that is NOT a fault either...