Stories live where we do. When people lived in cottages and castles, travelling from village to farm to walled town through remote mountain passes and deep, dark woods, that's where our stories went, also. They hid in the margins: dwarves and goblins and dragons dwelt deep in the mountains. Elves and other fey folk populated the far green spaces. Witches kept remote cottages deep in the ancient forest, and enchanted princesses slept in abandoned castles walled in by briars.
Now we live in cities and suburbs, in high ranches and apartments and skyscrapers, and our stories have moved in right along with us. The Wild Hunt rides Harleys through the city streets at midnight, while wizards sell two-bit charms in back alleys. Vampires hunt in night clubs, and forgotten, eldritch gods lurk in the sewers. The magic of old has gotten a little glitzier, a little grungier, but it's still there, existing side-by-side with our digital toys.
This is urban fantasy-- think of it as a faerie tale coming soon to a city near you.