I know it sounds ridiculous, but unicorns are being studied in Cryptozoology.
There have been sightings of unicorns in Toronto, Canada.
A Toronto native, Peter Hickey-Jones, captured this photo when he was trying to film a Pileated Woodpecker in Toronto.
Unicorns are difficult to define. Cryptozoologists describe them as creatures with a single horn. The horn must be natural - creatures aren't counted as unicorns if they had a horn broken off or if one failed to grow. It has to be naturally occurring.
For this reason, technically, the rhinoceros is counted to be a type of unicorn. However, rhinos do not look anything like the type found in mythology, so cryptozoologists still carry on looking.