The reason we enjoy fantasy isn't always because we want to be a wizard, a dragon slayer, or a vampire.
Sometimes we enjoy fantasy because it's a simpler life.
As the hero, your goals are clear: defeat evil; save the people. Love is overwhelming because there are no distractions. Courage comes naturally when the threat is obvious. There are no mortgages to pay, no credit card or student loan debt looming, and no 9-5 job to pull you from your quest. Your life focuses on your goals - your destiny, if you prefer - and every step forward is linear and measurable.
Fantasy gives us back our spark. It reminds us that while we may never be an expert swordsman or an unrivaled sorcerer, we still have a little bit of heroism in us.
We enjoy fantasy because it's often the opposite of what we're forced to confront every day: monotony, unfulfillment, missed opportunities, and broken dreams.