This has been going on for how many years now (5-6 years, I guess). I always imagine a group of people. I talk and physically interact with them. Sometimes, I imagine that I am dancing with them or making jokes with them. I only physically interacts with them when I am alone and whenever am not, they are only in my head, talking to me still.
The people that I am imagining changes from time to time and scenarios as well. I voluntarily change it depending on my preferences on how my imagination would be. I always tend to portray myself as someone of great importance and with some impressive skills, talent and intelligence.
I tried stopping it by letting myself be surrounded with people and be in public but after a day or two, I would always go back in my room and be alone, imagining to be with them again. I tried suppressing it whenever I'm in public and with other people.
Sometimes, I would feel like it is okay, at least I've got some company. However, it still concerns me though whenever I realized how weird it is to talk, dance and interact to someone who's not there.