I stumbled upon this post and I just felt like telling you that I've had the same feeling about my own OTPs. However, the reason we write fanfiction and imagine these couples is because we care about their interactions in real life. Everything we write is based on reality and this is how we show our love for an "couple's" strong bond. Although we sometimes might wish they were really gay in reality, isn't it okay that they aren't? It doesn't change how powerful their real life bond is or the emotions that you've poured into one of your stories.
Stories are still valid despite what real life might say. Fiction expresses ideas and universes that are different from reality. It's a place to produce fantasies and vent out the silly imaginations of a fangirl :) Besides, your OTP is real wherever you put them together. An OTP means "One True Pairing" and that means just because they are not doing the dirty in real life, doesn't mean they aren't still a wonderful pair of people who care deeply for one another.

I mean what we thought ain't true :(

I think it's normal to feel that way because sometimes I feel it too. Maybe, just what you said we are too stuck into this fictional world that we really put it into hearts. Also we read a lot of fanfics and write fanfics about our OTP's that even after reading or writing we still feel the emotions that we felt and when we finally face the reality it hurts because we are to immerse into our feelings and then suddenly reality hits us telling that what we felt ain't true :(