Why do i always pretend that there is someone else there?

Whenever I am alone, I always pretend there is someone else there, for example, a celebrity I really like. They are talking to me or hugging me and I talk back but I usually talk in whispers. I talk for the both of us. It's annoying because I usually slip into it without realising. I think the reason I might be doing it is because I get so scared when I'm alone so I pretend a friendly person, someone I like, is there with me. I know it isn't schizophrenia because I know they aren't real, and they're just my imagination. Sometimes I pretend I'm a different person and I start to have daydreams which sometimes make me cry and laugh out loud, but I have these a lot. Do other people do it too?