My kids are fully immersed in folklore, and convinced that they are all true in some realm of the world. Gnomes, elves, fairies, unicorns... they even leave little snacks out for the weefolk. I love it and find it endearing, but until there are skeletal remains or proof of existence I'm gonna go with myth. Just as I find Greek mythology fascinating, but doubt it has literal basis.
For now I think most of it comes from a unique trait of humans... the ability and desire to imagine the unimaginable. I also think that a lot of mythology comes from early use of hallucinogenic plants. ;o)
I would not be at all surprised if the unicorn was mentioned in the bible, as mythology obviously already existed then (talking snake anyone?), at the same time... I consider the bible a work of men, so didn't find the argument convincing from a scientific perspective obviously. We have plenty of time to discover remains, and it isn't impossible. I suppose my agnostic perspective is showing- I'm gonna go with myth until I see otherwise, but I don't attempt to prove what can not be proven either way.
Great, now I have the Irish Rovers song in my head. lol.