Then would it be bad to make up a Saint? Because if a Saint never really existed, then someone must've made him/her up.
If you willfully made up a Saint, it would be bad because then it's a lie.
Most of the "mythological" saints probably existed, but their stories were combined with others, mixed up over time, etc.
If the Church says someone is a Saint, you can have a devotion to them. If there was some mixup, God will know what to do with the prayers, and no sin is incurred because the Church allowed the licety.
Besides prayers, the Saints also set examples for us to follow. They serve a lot of purposes in the Church, both Militant and Triumphant, and most likely Suffering.