As existence is infinite, it must by definition be able to present the finite state as well (or it could be considered limited).
So, here are the reasons why the self is formed and then it should be let go:
1) Infinite to finite (I/F) converter of consciousness (otherwise we are all just one being)
2) Protection of the body against the elements or threats
3) Communications protocol amongst people (or other boundary states)
4) Problem solving via comparative analysis (what goes or matches where ...)
5) Development (physical, intellectual and human energy system) all the way to absolute silence of thought and the voluntary vanishing of self, for returning to the infinite state of consciousness