I have a fantasy that I can't let go of.
What kind of fantasy do you have?
I have a fantasy about ruling the entire planet.
I think it is nice to have fantasies. It is good to escape from the real world every now and then. I don't see anything wrong with thinking up crazy things.
I wouldn't say it's a crazy thing to fantasize about, I just want to become a God and take over the planet.
If that's what makes you happy so be it but don't get lost in it to  extend that it starts causing problems in your real life.