Because fantasy gives you much more freedom than reality does. It is you that constitutes the endless and boundless horizons of what you can fantasize. Reality sort of hits hard and can be cold so we can escape to our fantasy world and create the one we would prefer. It can be a perfect world in our fantasies and when we look at reality it just doesn't compare. BUT we live in the reality realm and we cannot stay lost in fantasy because no matter how we try we cannot bring fantasy into reality because reality will never measure up to our fantasies and this will cause disillusionment.