I've heard some stories too. Nothing first hand to report either. I'm in the "I've never seen one, but it wouldn't surprise me if they are out there." camp.
We are still discovering new species. Living in the west, I'm aware that there are enough forested areas and open spaces that aren't accessed by humans regularly, that it is totally feasible that they could be out there avoiding detection. But, until one is captured by a trap, a bullet, or a Discovery Channel HD camera, the debate will live on.