When I was four years old, I was absolutely convinced that I was a grizzly bear. I thought it was cool to go around growling at people to get my way and figured fur would be so much cooler than clothes. I got over it.
My youngest niece decided that she wanted to be a puppy.
We played along, (food and water dish on the floor, pats on the head) until dinner time when for desert we had hot fudge sundaes. She asked why she didn't get one and we told her dogs couldn't have chocolate.
She decided that she didn't want to be a puppy any more.
Kids have vivid imaginations and love to role play. They are not at fault. It is the parents who need a reality check.