No dementors do not exist. There are entities out there but they are much different than dementors and other beings you would see in movies and books such as harry potter. These entities I speak of are angles, demons, spirits, fae, gods, and many more.
Dementors do not exist so they do not feed with our happy memories. Spirits feed with memories but with theirs. I do not know if there are spirits that feed with other's memories. Does anybody know if they exist?