I don't think it is necessarily a -bad- thing, but it could be considered a maladaptive coping mechanism. I used to daydream a lot about a fantasy world, and would create stories in my head. It was not a -bad- thing either, but I would do this for several hours a day and it impacted my daily life.

You may find it harder to find peers your age who are 100% OK with you having an imaginary friend. It may lead to you having a harder time making real life friends. If you are totally fine with that, then having an imaginary friend should not impact you too much (unless you are talking to them out loud in public or at work).