The rules text you quoted above ("When you play a card with this keyword, you must pick a target card of the appropriate type as the first extra cost. When the attaching card resolves, it enters play attached to the target card.") actually answers your own question. The keyword "ATTACH TO X" dictates that picking is an extra cost that must be paid in order to play the card. If there is nothing you can pick, you cannot pay the cost, and therefore cannot play the card at all. This means that the card never enters play at all. In a similar vein, it also means that you HAVE to pick something in order for the card to enter play, so your friend's interpretation of the rule is wrong.
Originally Posted by Kabuki