You’re imagining it, it’s not real. This cliché differs from such earlier uses as in my mind or to my mind, which meant “in my opinion” from the early 1500s but are heard less often today, and on one’s mind, meaning “occupying one’s thoughts,” dating from the mid-1800s. The current cliché is generally used as a denial of another’s statement, as in “‘I’m sure this woman doesn’t like me.’ ‘No, it’s all in your mind.’”