Ummmmmm
orks aren't fantasy?
But yeah, you're right, because nothing in the 40k universe even remotely resembles fantasy. Just orks, nurgle, sword wielding paladins, chaos gods, skeletons, necrons, shamans, magic, fey humanoids, the fact that Games Workshop markets it as a fantasy game in space. But other than that, it doesn't resemble fantasy at all.
Oh, and here's a nice little quote from the Warhammer 40k website: "In the sense that Warhammer 40,000 races are generally derived from the earlier Warhammer Fantasy universe, the Eldar are derived from the High Elves of the Warhammer World, except for the Eldar faction known as the Exodites who are the equivalent of the Wood Elves."
But you're right, it's nothing like fantasy. What could I possibly have been thinking?