Louise imagined Cheese, but he is known to often get out. In Mac Daddy, Cheese enters Mac's room and when Mac wakes up, Cheese appears in his bed, leading Mac to believe that he had created Cheese. Towards the end of that same episode, Mac finds out that Louise had created Cheese and she had explained that Cheese occasionally wanders off.
In Cheese a Go-Go, Frankie brings Cheese back to Louise's apartment after a long day of chasing him around town. When Frankie asks where Cheese had to go, Louise simply exclaimed that Cheese just "had to go."
In Goodbye to Bloo, Louise had moved to a new home which doesn't allow imaginary friends, forcing Louise to give up Cheese and have him live at Foster's, much to everyone's horror.