How is it wrong to believe that a self exists, or that it doesn't?
You should not believe or hold a view that:

there is a self
there is no self

But whatever you consider as self is not worthy of being called self as:

you cannot control it to your will
it is impermanent

Since if you take a being as parts in terms of the 5 aggregates or 6 faculties each part which constitutes a being is not self. E.g. the eye is not self, what you see is not self, what you feel is not self, your corporeal body is not self, etc.