The idea that the self is an illusion is only tricky as an intellectual idea or through an intellectual pursuit. But it is quite clear when you've devoted your life to self-enquiry because at some point it is extremely simple to see.

We have to depart the world of words, ideas, theories, secondhand information from authority figures, and beliefs to see what we really are. Since only you can see what you really are, how can an expert tell you what you are? This is difficult for most people to do because we are trained, psychologically, from a very young age, that all answers come from reasoning and fact-finding. It works for scientific and philosophical endeavors, but such is not the case with knowing what you are at the deepest level. When PERSONALLY you do this, if you have the strong interest to do so, then the sense of self falls away and something fundamental becomes evident. So, yes, the self is illusory on all levels. It does not exist except as an image, an idea, and this colors all perception as we go through the world.

All the amount of philosophy, learning, practice, logic, ritual, and belief will get a person no closer to seeing what he actually is, that this self is an illusion. If such tools are used then the self is fooling itself and others. There is no tool or methodology that can be applied. The sense of self must be set aside in the unalloyed observation of the self, because it cannot see itself. So when we say that the self is not, or may not be, illusory, is this because we have used ideas and logic, or knowledge from books and experts, or because we have personally enquired into the self to find the truth? Only the latter will yield the answer; all else is just pushing more ideas around.