First of all, examine the beginning of this famous speech:
"Is this a dagger which I see before me, The handle toward my hand? Come, let me clutch thee:--
I have thee not, and yet I see thee still."
Macbeth "sees" a dagger before him, but the rest of the quote makes it quite clear that the dagger exists in his imagination. Macbeth says that the dagger might be a product of his "heat-oppressed brain."
One thing that ought to be obvious from the words themselves is that Macbeth is in a severe state of confusion. The events leading up to this (the prophecies of the witches, his wife's ambitions, and Macbeth's previously good relationship with Duncan) tell us that Macbeth's confusion is a moral one. Should he kill Duncan, or do the right thing, which would mean going against his wife's and his own desires?
Best wishes ( or witches)!