Maybe you should ask if they need one?
Consider the negative numbers. I think these were origionally invented (is this the right word?) by the Ancient Chinese in the form of white tablets - which signified debts. These were still treated with suspicion by some mathematicians as late as the middle ages! For instance, positive numbers can be used to represent a volume, or the number of dots on a sheet of paper - how can you have negative volume or a negative number of dots?! Of course today we are perfectly happy and we know they are good for representing other quantities.
Some schools of Ancient Greek mathematicians believed that the only possible numbers were integers and fractions. Then they proved that root 2 was not. This seemed to them to be quite literaly 'irrational'! (See http://en.wikipedia.org/wiki/Number" for an interesting history of numbers).
We are fine with both of these. We know that the algebraic structure of the natural numbers and positive fractions is good for counting things or bits of things; the algebraic structure of the positive reals is good for lengths, areas and volumes; the algebraic structure of all real numbers seems to correspond well with points in space or the money you own.
To move the discussion on a bit, consider a circle. Can you ever draw a perfect circle? The answer is 'No', simply because of the discrete nature of matter. But we use the
idea of a circle all the time.
Hilbert put forward an argument that
all mathematics is just a game played on paper according to certain rules. It has nothing to do with real life, but we seem to think it does, and we picks the rules (e.g. 1+1=2) accordingly.
So the complex numbers don't have to correspond to any sort of length, area, quantity. On the other hand their algebraic structure is the same as that of many hard to visualise things - the applications you just mentioned use it. The wave function of a quantum particle uses it. Of course all this doesn't mean that imaginary numbers don't 'exist'.
http://en.wikipedia.org/wiki/Philosophy_of_mathematics#Platonism" would certainly tell us that they do. :)
All this is very philisophical.. perhaps I've confused you more than I've enlightened you? Some mathematicians (see Cantor, Dedikind etc.) were very unsatisfied with the 'common sense' definition of numbers so tried to define them more axiomatically with set theory