Because we were created for God, to serve and worship Him. But when Adam and Eve sinned, God was dethroned. This left a vacuum within the human heart so large that nothing else in the world is sufficient to fill it. Fantasy acknowledges this desire for something greater than ourselves. So the heart hole that fantasy taps into is our need to worship.
So fantasy become important to our reading diet because this genre reminds of our need to worship--specifically our need to worship the Lord and serve Him only, for He is greater than all other gods (Matthew 4:10, Exodus 18:11).