This is one of those words you think you understand, but really never give it much thought. Self can mean many different things depending on the context. When you refer to your ‘self’, you tend to mean something along the lines of the dictionary definition of the word:
a person’s essential being that distinguishes them from others, especially considered as the object of introspection or reflexive action.
The self is considered to be the source of your actions and thoughts, and to provide you with a specific personality or individuality. But none of that quite holds up to scrutiny. Just try to find your ‘self’ as an “object of introspection” and you’ll understand the problem.