You can have set theories that allows sets to contain themselves without allowing Russell's Paradox. You can read about non-well-founded set theory[1] if you're curious.

[1]: https://en.wikipedia.org/wiki/Non-well-founded_set_theory

Resolving this paradox is discussed in TFA as being the founding rationale for the Zermelo–Fraenkel set theory in fact.

simple: there is no such set.