In the contemporary era, the experimental psychologist Bruce Hood has turned to brain research to fundamentally question whether there is any self to know.
There's also an argument that at a certain level everything is just energy. Yet I don't try to build scenery by electrocuting plywood.
There may be no "self", but that's not a useful way to live daily life.
To quote from someone whose teachings were turned into a religion, but who never said anything about a god, "The self is an illusion." It's just the focal point of the brain, with memories (accurate and not accurate) tying things together. There is no there there.