You are awesome. You are always there for me. You make me smile. You do not judge me when i am negative. You hug me. You help me when I am down and I help you too. I care for you, friend.
I don't see anything wrong with that. The thought crossed my mind, but I eschewed that idea in favor of epistolary storytelling, which is pretty much just creating a cast of imaginary folks that send letters back and forth whilst doing various things. 'Tis good fun.
I just write to myself. I call it a diary. When I write things down, it really helps me to think deeply about things and sometimes I can see problems in situations with better clarity. So I would encourage that you write about your problems in whatever way you find most comfortable. If that involves an imaginary friend, I say go for it.
I agree with FreedomFromLiberty. It makes much more sense to me to just write my thoughts down than to write only to imaginary friends. When you think about it, writing always portends communication towards some sort of audience. You don't need to limit your genre to just a specific imaginary friend.