This is also the purpose of many secular works of fiction, no? It makes sense that folk might develop similar attachments to those works and model parts of themselves on it (writing smut about it is another matter, though). People have an intrinsic urge to identify with aspects of the world at large greater than themselves, and it's from that impulse that we have totems, gods in human forms, and groups centered around interests like these, especially given the contemporary culture of intimately identifying with fictional characters.
Maybe for some people, but as a pretty intense fan fic and fan art maker myself, not really. It's catharsis and wish fulfillment.