The Rebbe (in his Otzar Hayyim) explains that horns represent the sefirah of Keter, (Crown/Will) being that they radiate from and above the head which represents the mental faculties. (Hochmah, Binah, and Da'at)
Since there is only holiness and certainly no impurity at the level of Keter, only holy animals have horns. For this reason you will never find a non-kosher animal with horns.
I thought this was perhaps the coolest thing I'd ever learned, and was amazed I never noticed this before. As much as I thought about it, I couldn't come up with a single animal that had horns but wasn't kosher. Deer, goats, cows, sheep, even giraffes, they're all kosher. Recently I remembered the moose, sure enough it's kosher too.
And now, from the department of things you'd never think to hear me say: (it's a fairly small department, let's be honest.)
Which leads me to the title of this post: Since a horse is not a kosher animal, there are no horses with horns, let alone a single horn in the center of their head. The only possibility for the existence of unicorns is if they were to be a peculiar brand of horse with split hooves and who chews its cud. Stranger things have been discovered, but any depiction of a unicorn with an uncleft hoof is clearly inaccurate at the very least.
The better question is this: Why doesn't the Torah mention horns as a symbol of kosher-ness? I've got two ideas: 1. Maybe I misunderstood the Komarna? Doubtful though, it was seemingly very clear. 2. Perhaps there are situations in which horns do apply to non-kosher animals, outside the context of what the Komarna was referring to? 3. Since there ARE kosher animals without horns, including an option for horned animals being kosher would be at least a little confusing. 4. Have you seen the jackalope? (Finally proof the jackalope doesn't exist)