I did this once back in the early 90's. Never again.
Rather than fantasy football I tried a fantasy junta. 'Planned' to go to a third world country of my choice take it over in a coup and survive to be dictator for life. This involved fantasy security policies, fantasy gold plated AK's and all the dictator chic. How runs my military etc, what laws to pass, all the fun stuff. It was no more plausible than mixing together football players from all the best teams into a super team, irregardless of contracts, and far more stimulating.
I didn't do anything just research various odd topics. However I stopped after strange people from certain departments asked me serious questions.
All in all I was quite impressed with how quickly I was found on how little information. As I had a 0% chance of actioning anything, even any preparations and I keep my fantasies to myself.
My answer which seemed to satisfy them was along the times of 'Why have a fantasy football team of all the best players when my imagination can stretch to a fantasy junta.'