This, to me, is a bit like asking if a galaxy exists.
If you are living on a planet somewhere in a galaxy you are only aware of your immediate surroundings and the concept ‘galaxy’ has no meaning for you. But once we realize we are living on a planet that has many other places in it we come to recognize we are ‘earthlings.’
The next level up is to see ourselves as part of a solar system and is reflected in the view we are members of that.
Finally, we discover our solar system is but one of a countless number making up a galaxy.
So at each level of abstraction we are aware of varying details and at the highest recognize we are living in a universe.
The same principle, I think, applies to the ‘self’ in terms of making abstract observations about many individual experiences that people undergo through life. All such instances of such experiences seem to conform to a familiar pattern, i.e., that of ‘belonging’ to the same source (‘me’).