Yes, we have a kind of instinctive “ontological misconception” about our self. We naturally take it to be real in a similar way that material things are. But actually it doesn’t have material existence, self is a fiction. To say it is a fiction does not mean that it does not exist, but that it exists only as a fiction.
Here is a good lecture about the power of fiction, and how it is actually our capability to fiction that enables humas to run the world: