I would like to point out that from a Buddhist perspective which is what you might be referring to it is not taught that there is no such thing as a self.
I think we tend to look for black and white answers but it's not as straight forward as that it seems. The Buddha refused to answer this question, thus I doubt the answer is as simple as a self does not exist, if it were the Buddha would have said so but he did not say so.
From the pali cannon:
As he was sitting there he asked the Blessed One: "Now then, Venerable Gotama, is there a self?"
When this was said, the Blessed One was silent.
"Then is there no self?"
A second time, the Blessed One was silent.
Then Vacchagotta the wanderer got up from his seat and left.