If you're playing dungeons and dragons, then unicorns "exist" within the context of that game, and there are rules for interacting with them. If you're reading a fantasy novel, then unicorns exist within the context of that fictional universe.
And because people enjoy playing Dungeons and Dragons and reading fantasy novels, that existence has real value both for those people and for the people creating those novels and games. And you can say that certain things are true about unicorns within the context of those games and fictional worlds. (For example, it is true that unicorns have horns).
If it makes you feel better to put infinity into the same category of reality as "unicorns", then I think that's fine? It doesn't necessarily need to be the case that anything in mathematics corresponds to something that is physically manifested, and probably _most_ of mathematics does not -- not just infinities.