There's no such thing as self
Let me be clear, the emphasis is on "thing". We all experience a sense of personal self, a "me" that is reading these words, an individual with its own thoughts and opinions, likes and dislikes. And we also know a sense of I-ness that is always present, that which knows this experience right now, and every other experience we've ever had. But neither of these senses of self is a thing, an object we can identify and go find.
When I look within I find various things that I am aware of—thoughts, feelings, sensations, and perceptions. I also find ideas about who I am: a name, gender, age, personality, memories and fantasies, hopes and fears. But these are not my self. They are just experiences that give me a sense that I am an individual being, with a unique set of attributes.
When I feel I am caught in my ego, there's not a "thing" that is controlling me. What I'm caught in is a self-centered way of thinking—usually about how can I get what I need from the world so that I can feel OK. It is just a mode of thinking, determined by a mind-set or belief as to how to get what I want. There's no actual thing called an "ego" directing my thoughts; just patterns of responses, each in their own way seeking to help me feel safe and survive. And at times I am very grateful for this way of thinking. Without it none of us would have survived for long.
Then there is that ever-present quality of "I", the knower all experience—including the experience of being a separate unique self. That is no-thing either. Unlike the ego-mind which has a whole host of qualities associated with it, the knower, the "I am" at the center every experience has no intrinsic qualities. It is consciousness, the subject of all experience.
Having no intrinsic qualities, the ever-present sense of "I", often called the "pure self" or Self, can never be known as an object of experience. For that it would need to have a form that could be known. One may seem to experience it as a location in the body, a quality of presence in the heart perhaps, or a deep feeling of me-ness. But in the final analysis, however, subtle, and perhaps "spiritual", these experiences might be they are all experiences, and as such are known to and by consciousness. They are not the pure self, that which is aware of them all. For that reason this self can never be known as a thing.
If I ask "Who are you?" the mind can come up with all manner of answers. But if I ask simply "Are you?" the answer invariably is a simple "Yes."