Unicorns were real but were hunted to extinction by our predatory ancestors thousands of years ago. The proof is that horses exist. The original horses (a small group of unicorns) were being used by a smarter group of our ancestors who would cut of their horn to fashion weapons of war. The horns would grow back after awhile but the cycle last for so long that the horns just disappeared and that is how evolution works or something.

You know this is true because I have told you it is true, I do not lie (the proof is again that I am telling you that I do not lie and since I do not lie, me not lying here must be the truth; vicious cycle). You should believe me because I am good.