Idk if it was here or not, but someone put out there that in The Big Lebwoski, Donny is actually Walter's imaginary friend, due to his severe PTSD. They said Donny never interacts with anyone but Walter and that his death is actually a step in the right direction for Walter's mental health.
However, following the botched drop-off, when the cell phone keeps ringing, Donny tells the Dude his phone is ringing, and the Dude says "thank you Donny" in his deadpan way.
So no, he's not imaginary.