A fantasy is any future situation that you can imagine, which you allow yourself to become attached to. Typically this attachment is emotional, and you will feel like you need to protect the fantasy even though there is nothing "real" about it.
One of the most common examples is romantic relationships - you meet someone that you like, and you begin imagining how nice a relationship with them would be. Soon, you are afraid to do anything that might kill that fantasy - including telling that person that you like them. If for some reason that fantasy ends, for example that person begins a romantic relationship with someone else, your mind reacts the same way it would if you had "lost" that person from your life. It feels like a break-up, because your mind cannot tell the difference between actual reality and imagined reality.