"Imaginary" numbers are a misnomer and the term causes much confusion. The complex numbers exist as an "extension" of the reals.
You need to define what a number is. Does the number "1" exist? There is after all no existence of a "1" on the earth - so it too is, in a sense, imaginary (only a construct in our heads)
What I think your question might be is "Is there a number in the complex numbers which is equal to the square root of i"? The answer then yes e.g. solve
(a+bi)^2=i and you'll find one possible solution is 2^(-1/2) + 2^(-1/2)i, just like the first answer from rt11guru.