Jesus must have existed. Muslims think he did as he is regarded as a prophet by them.
They also believe Muhammad flew to heaven on a winged horse.
Religion is banned on this board so I'm not interested in talking about the theological basis of Christianity but the historicity as Jesus as a person. It used to be a commonly held belief that the Biblical patriarchs like Noah, Moses, Abraham, Isaac and Jacob were historical figures but now the prevalent belief in academic circles is that these patriarchs were mythical characters, not historical figures. Placing mythological characters as historical figures is called euhemerism. It was named after Euhemerus who believed the gods of Olympus were ancient Greek kings who became deified. It's also seen in Germanic mythology as the Norse sagas portray Odin originally as a Bronze Age king over a Gothic tribe near the Black Sea. It's quite possible Jesus was a mythological character who became euhemerised into a historical one as well, just like the Biblical patriarchs of the Old Testament.