American parents but brought up in the UK. My sister did until about age 10/11. I did age 15, but that was because I didn't want my mother to know I was with my motorcycle riding boyfriend
My daughter, Italian father, brought up in Italy did sometimes, until about age 8.
I think it's more to do with a need to socialise when kids don't have the opportunity or a need for an ideal friend than an American/western thing. I don't think any kids with imaginary friends truly believe they are real either.