This could be many things. I guess the best gauge is knowing your daughter and her temperament. Is she truthful? Easily frightened or impressionable? Has she seen any movies or heard any stories that could influence her?
Or perhaps she's now entering the age where she enjoys pretend or fantasy play. Maybe instead of inventing the more traditional imaginary friends, she's settled on this.
If you're a spiritual person, perhaps something paranormal is happening either in your house, or directly to your daughter. There are some theories that some people are more sensitive to the paranormal, but depending on your perspective this can be good or bad. I'm sure you've read about or heard about houses with paranormal activity and the such. There's a lot out there we don't understand. If you're Christian, speak with your priest or pastor about this for guidance. Perhaps even consider having your house blessed and/or ask your church's prayer group to include your daughter in their petitions.
While hearing voices is a major symptom of schizophrenia as mentioned by another poster, it seems unlikely this is the case with your daughter, taking into consideration that she is so young, and symptoms pointing to this tendancy usually don't manifest until a later age.
Schizophrenia is usually a hereditary trait, and as I mentioned usually doesn't manifest until a child is much older. If this disorder runs in your family, you might want to consider an evaluation or recommendation by your pediatrition.
My personal guess is she's picked up your reaction, and is "pretending". But only you know your daughter best...I guess you have to go with your gut on this one!