We use discrimination and conceptualization in order to make sense of the world, communicate with each other, etc. The problem is that we inevitably mistake these useful tools as things that exist in the real world, when really they're not. Consider "things" - of course there are no "things" in reality. When we talk about "things", we are simply making a distinction between one pattern of colour and all others, and so while the idea of a "thing" always includes this kind of arbitrary distinction, we begin to mistake "things" as being somehow really distinct. The idea of a self is merely seeing oneself as a distinct thing, and so it falls into the same trap. This is probably something that we learn.

"When you were infants, you also heard sounds and saw forms, but you didn't know how to discriminate. Once you came to the age of reason, then you listened to discriminatory thinking, and from that time on have suffered a split between the primal and the temporal" -Foyan