Saying there’s “no such thing” means there’s a thing first then denies its existence.
It may be a “mental object” as it were, but it has to exist before it can be denied.
The famous example: DON’T IMAGINE A PINK ELEPHANT WEARING A TUTU DANCING ON A BALL
You have to imagine it before you can not imagine it.
[of course you can also say “I can’t imagine anything” but it’s non-specific and kind of a weasel way out)
The sole thing that prevents a unicorn from existing is that they are defined as imaginary.
This is what allows for a unicorn-like rhino or a rhino that is as close to a unicorn as is possible but can never be a unicorn UNLESS unicorns lose their “solely imaginary” status.