Some places do not exist in conventional three dimensions: Some exist as higher dimensions or as information. Importantly, realms are often accessible either with the proper equipment or training to many people and can be used for private experiences or networked communication.
They exist within the universe, either by extension (subspace/lower dimensions and hyperspace/higher dimensions) of it or as a consequence of it (emulated reality). Often the physical rules of realms are considered different to that of conventional space.