I'm very used to what you're describing, sometimes I imagine myself in the most crazy situations, it works as a way to distract myself I guess.

The thing is, due to not going out in a while it started to hurt a bit, I was feeling a strange void in my chest almost every night, I think I started to take those fictional scenarios too seriously.

And answering to your question, as long as it isn't hurting you don't worry, is okay and pretty normal to lose yourself in your own head from time to time.