Nope, he really did kill them. Totally hijacking this comment from another thread:

As the viewer, your interpretation is as valid as anyone else's. There's enough there to be able to interpret that it was all in his imagination. But I prefer another interpretation.

A much more interesting interpretation imo, is that the killings did happen, but no one cared.

The movie is thematically a satire of yuppie culture (you could probably extend it to other cultures though). In the film/book, people don't take an interest in others except for superficial reasons - where is that person eating? How big is their apartment? How good is their business card?

So Patrick goes on a killing spree and the point is that it did happen, but nobody knows who Patrick Bateman is because they cannot tell him apart from all the other people who dress the same, act the same, eat at the same places. They don't even know his name, because they never took an interest in him beyond the superficial.

And the few people that do know who Patrick is, like his landlady/lord (can't remember the sex), would prefer to brush his murders under the carpet, because he's a high-spending customer.

When Patrick talks to the lawyer over the phone, and the lawyer says that Patrick couldn't have killed Paul because the lawyer got food with Paul in London, you can interpret that this must be Patrick's alibi and he must have hallucinated everything, or you can interpret it that the lawyer doesn't actually know who Paul is - he thinks he ate with someone called Paul Allen, but it might be that the lawyer mistakes someone else for Paul Allen, which is in keeping with a lot of other points in the film where there are mistaken identities.

When Patrick returns to Paul Allen's apartment after he kills Paul, and it's all been cleaned up and no sign of any police operation... again you can interpret that this means Patrick has hallucinated everything, or that the owners of the apartment would rather clean the place up themselves than bring the police in, which would devalue the apartment. This is in keeping with the materialistic themes of the movie/novel.

The problems come from the short scenes which feature bizarre situations: Patrick blowing up a cop car with a bullet, and the ATM asking to feed a cat into it. It was probably a mistake to include this part of the story, because it does demonstrate some level of hallucinatory behaviour on Patrick and it risks then putting too much weight on the argument that it was all an hallucination.

But a word from the director:

"One thing I think is a failure on my part is people keep coming out of the film thinking that its all a dream, and I never intended that. All I wanted was to be ambiguous in the way that the book was. I think it's a failure of mine in the final scene because I just got the emphasis wrong. I should have left it more open ended. It makes it look like it was all in his head, and as far as I'm concerned, it's not."