I'm wondering if you mean in the theological sense, or in a more personal sense?
I don't think many people have created whole pantheons, and creation myths... though being a writer I've half-started a few.
But in a more personal sense, I think everyone has a "mythology of self" for lack of a better phrase. In my head I have this idea about who I am, and what my life's been like up until now. I even have some future hopes and dreams, which you could call my prophecies.
Sometimes we lie to ourselves, and try to build up a "myth" version of the life we have.
When something big happens in our lives it can shatter our personal mythology. I believe that I am going to live happily with my wife and raise my child... so if she divorced me tomorrow and took the kid, well then all my preconceived about my life will need a pretty serious rewrite.
Are we basing this on the premise that one is living an illusion or that one is not grounded enough in reality to believe things about one's self that aren't true? Either way the thought of creating myths in one's life when there are fare more important things to form one's life around seems a little unsound.