They do eventually grow out of it. It can take a while longer than expected though - DD used to pretend she was a kitten, grew out of it at around 6 or 7 I think, I remember pretending my cousin and I were horses which did drive my mother batty on occasions because I was forever jumping over random obstacles and would have constant bruises from where I didn't quite make it and fell.

But rest assured, it's all completely normal.