There is definitely social stigma around "talking to yourself". As a kid, I've been told that only crazy people do that. This made me uneasy, as my mind tended to - and still does - reason through a dialogue with itself.
I'm not saying it's bad or non existent. Just that prevalence varies from culture to culture possiby due to suppression/encouragement but possibly due to other factors as well? Maybe suburban life has something to do with it? Or high mobility?
In polish article I found a statement that nearly a third of kids have imaginary friends at some point.
I don't think it's that rare. It's just that there's - like with multiple other things - a social stigma connected with it, so it's not talked about.