"Illusion is the first of all pleasures", said Voltaire.  

Why is that?  

I am speculating that our ability to prospect what's possible must be somehow be linked to that deep brain region responsible for pleasure.  We respond, I believe, to the projection of wants the same way we do to sweets, money or sex.  

What we want must be connected, through a mysterious link, to what we need.  And so the ingrained wisdom of our biology tells us what is good for us by rewarding us with pleasure even when we fantasize about it. 

The same way, I believe, as to when we "like to eat" something sweet when our blood sugar is low.