Actually, there is no real way to tell if unicorns are real or not. If they are real, how would we know? They live in clouds, right? Look at the world from the tops of rainbows? Well, there is no way to see those places. Nothing human made is supposed to fly in clouds, mainly because you can't see through them and there might be a storm. Also, rainbows are in outer space, and they only last for a few seconds. They could be real, honestly.
No, but people found skeletal remains of an animal that they didn't recognize. It had a hole in its forehead. So people got creative and created the unicorn. But modern science and investigation revealed the alleged unicorn remains were from a very real and known animal. And that is how the unicorn myth was started.