The doctrine of anatman (or anatta in Pali) is one of the central teachings of Buddhism. According to this doctrine, there is no "self" in the sense of a permanent, integral, autonomous being within an individual existence. What we think of as our self, our personality and ego, are temporary creations of the skandhas.
Anatman is sometimes misunderstood to mean that nothing exists, but this is not what Buddhism teaches. It's more accurate to say that there is existence, but that we understand it in a one-sided and delusional way.