I ask this rhetorical question because I know that it is possible, just not "why".
I sometimes get a longing for (or simply notice the absence of) things which I have never seen, heard or felt.
When I am writing, especially, I feel that the pen I write with should be scritching like a quill or fine nibbed fountain pen on rough, heavy paper. I have never used a fountain pen or quill, never written on anything better than 80 gramme letter paper and I certainly don't know what "scritching" should sound like! The feeling of the pen on paper and the sound just seem wrong somehow.
I wake from a dream, missing the feeling of silk sheets beneath me. I have never slept on silk sheets, don't even know what they feel like (rough silk or soft?) I just know that my sheets feel rougher than they should. The next time I go to bed, I find myself anticipating a cold slippery sensation... No - Linen it is!
One day perhaps I'll discover where these memories come from, be it my imagination, the collective unconscious or something completely different!