Fantasy has a special meaning when applied to Roleplaying Games (after all, all roleplaying is fantasizing, right?). The Fantasy in
Fantasy Roleplaying Games refers to what is sometimes called
High Fantasy, or
Swords and Sorcery - elves, dwarves, dragons, wizards, a more-or-less medieval or ancient setting. Not all of these games have all of these things.
Dungeons & Dragons, the first Roleplaying Game, is the classic example.