Fight club is claimed to be a Gothic Story. I think that it does have several of the elements essential for a gothic novel, but it is also missing a few (at least in the movie). There is definitely the old gothic castle represented in Tyler's house. Is is old, falling apart, and there are odd problems that occur in it that can seem "supernatural". There is also the element of the grotesque. This is without a doubt. It is not a fantasy, but that actions and the imagery could easily fall within this category.
Unfortunately, there is no heroine. Marla is a prominent female character, but she is not a heroine in distress. She meets the narrator in these support groups, but is not in need of rescue from the narrator; Marla simply interacts with the narrator to give us clues about his condition that is revealed at the end. There is also no real moral closure. We do come to an understanding at the end of the novel/ movie, but it does not really teach us anything. There is no moral lesson learned from viewing the movie.