In an epistemology class once I said to the lecturer "I don't know anything." He said "Don't you know your name?"
Eastern philosophy has nailed this thousands of years ago and we westerners are up to this day totally in the dark. We actively treat the I as a concrete object that really exists as an entity. It does not hold any closer examination and evaporates entirely the closer it is questioned.
That's just part of how our language works. It doesn't seem to matter whether I am a "concrete object" or some swirly pattern of becoming or indeed even an illusion! The English word "I" does not refer to an eternal soul or "atman."
If you stare long enough at an ice cream you'll have the marvelous insight that in reality there is no concrete ice cream entity, not least because it melts. Yet people don't go around saying "wake up, there are no ice creams!" Why is that?
So much philosophy is playing with words.