If you were given an exorbitant financial grant to conduct a research project to study the nature of the unicorn, would you do it? Suppose the grant money was in the millions of dollars—you are a famous natural scientist at a prestigious university—would you in any way be tempted to accept the grant money?
My guess is no. You would not stake your reputation on such an investigation even though it means turning down a huge amount of dollars. But suppose you were promised the funds regardless of your research results. Why, you could study: A Field Guide for Identifying Unicorns by Sound by Craig Conley, as a starting point.
“This book weaves precious bits and pieces of evidence like a Celtic braid, gathering from a wide variety of sources: chronicles of yore, modern-day eyewitness accounts, oral histories and folk traditions, and, of course, myths and legends from around the world.”
You could travel continents where the fabled creature might have existed. Deep within forests, you could chat to native peoples to get their notions about unicorns. Now that much of the Earth's ice sheet is melting, you could visit uncovered pristine areas hoping to find traces of the fabled animal, maybe even locate a preserved corpse or two.
No? Well then, how about paid research to locate Shangri-La, or the Cyclops, or Atlantis, or a dodo bird? It would be foolish for any respected scientist to hunt for such places or creatures, except possibly for the dodo bird which was first discovered on the island of Mauritius but became extinct by 1681. Of course, there has always been tremendous scientific interest in Atlantis.
So what is the point of all this impractical searching? As a writer, I believe that our species searches for answers, only when it has a hint that an answer exists. Hunting for unicorns is stupid because there never was any real evidence that the single-horned creature ever existed. The same holds true for Cyclops. This legendary one-eyed character had its existence only in fables.