This is my own analogy but think of the concept of pressure and brownian motion. At a micro level pressure doesn't seem to exist in the way we understand it. There's just little spheres exchanging momentum. But at a macro level we can talk about pressure.

My takeaway with many discussions about self and Buddhism is just that it's a macro or emergent property, and not just one "thing".

Language can be imprecise but I think that's what is being referred to when we say self is an illusion.