Here's my humble take: The self is as much an illusion as a "drink of water" is an illusion. Water exists, but a drink of water is a concept applied to the bit of reality that is water. The human creature exists, but the self is a concept applied to the bit of reality that is humans and other intelligent life. It disappears from the contexts that no longer call for it, and forms in the contexts that call upon it. It's actually quite a mundane everyday thing; people "lose" and "regain" their sense of self all the time. That's not necessarily a bad thing, because being constantly self-on can drive you mad, and being eternally self-off leaves you at the complete mercy to the whims of fate. Average creatures like me and you (I assume) are constantly struggling and slipping between the two states based on circumstance and emotional state, while a truly enlightened being has full control over the evocation and revocation of its self, to the point where the natural fear of ego death no longer binds them. Possibly an analogue is to be found in Western teachings as well, that to "humble yourself before Christ who conquered death, and be born again" is to personally realize and feel the full implications of the self illusion, enabling one to live fearlessly on the path of a righteous life.