I think most people have an imaginary friend, to an extent. It's merely a projection of our consciousness onto an imaginary figment. It's a way of communicating with yourself, basically, which we do all the time anyway. It just manifests differently for everyone. Some people talk out loud to themselves. Some people create imaginary friends or characters. Some people just talk to themselves in their own heads. As long as your imaginary friend isn't encouraging you to do bad things, there's nothing wrong with it.