Of course, the difference is that myths in Skyrim are much more probable to be real than in our world. But that's about it.
This. This right here. This is what everyone is trying to say.
The Falmer might just be a myth. However, dragons were pretty much myths too; and now they're popping up all over the place. Falmer might be a childen's tale, or they might not. However, since this is the made up world of the Elder Scrolls, created by a gaming company, the Falmer are a piece of made up lore that are more likely to be "real" than they are likely to be a meta-folktale.
EDIT: It's not very well known lore . . . so, I'm guessing they won't be in Skyrim.