[Gorwingel]

I never thought about this, but yes this could be true. In the books you never hear about Elvish fiction, you just hear about the stories of their past (amazing wonderful stories). Additonally they were binded with Arda forever so maybe it did keep them from creating stories about places far away from there.
Though they did live in a very mythical world, so they probably did not need to make up stories about mythical lands and places. The elves were a lot more set in there position in life. The men had much more freedom to think about anything they desired (additionally they were supposed to be us, and we make fiction stories, so they would probably too)