I heard of this expression a lot. When people talk about no self or no ego they often say it is because there is no solid and separate entity as self. It sounds like there are solid and separate entities of other things. If you want to talk about existence or non-existence, I can say nothing exists.
Actually I can argue that there is ego or self, because you have it.
Furthermore, if we speculate that every thought has material basis we can try to visualize every thought as a bubble that emerge from your mind. So the concept of self is like a bubble standing between your being and sense of perception. Because this separation, at that moment, you cannot hear the sound. Your ears heard of the sound. But you don’t.
So I am speculating that the concept of self actually has a material basis, which means it is actually real. But Buddhism says the self is not real. Buddhism insists so only because you don’t need that concept of self and it doesn’t do you any good.