A very good answer comes from the Ananda Sutta (SN44.10):
"Ananda, if I — being asked by Vacchagotta the wanderer if there is a
self — were to answer that there is a self, that would be conforming
with those brahmans & contemplatives who are exponents of eternalism
[the view that there is an eternal, unchanging soul]. If I — being
asked by Vacchagotta the wanderer if there is no self — were to answer
that there is no self, that would be conforming with those brahmans &
contemplatives who are exponents of annihilationism [the view that
death is the annihilation of consciousness]. If I — being asked by
Vacchagotta the wanderer if there is a self — were to answer that
there is a self, would that be in keeping with the arising of
knowledge that all phenomena are not-self?"
"No, lord."
"And if I — being asked by Vacchagotta the wanderer if there is no
self — were to answer that there is no self, the bewildered
Vacchagotta would become even more bewildered: 'Does the self I used
to have now not exist?'"
Did the self that the monk used to have before Nibbana suddenly not exist any more after Parinibbana? That's the wrong view.
Instead of looking at it from this way, the Buddha prefers to look at it from the perspective of dependent origination.
There is another good exposition of this in the Acela Sutta (SN12.17). Please see this answer for a discussion on this.
There are also the six wrong views of the self in Sabbasava Sutta (MN2):
"As he attends inappropriately in this way, one of six kinds of view
arises in him: The view I have a self arises in him as true &
established, or the view I have no self... or the view It is precisely
by means of self that I perceive self... or the view It is precisely
by means of self that I perceive not-self... or the view It is
precisely by means of not-self that I perceive self arises in him as
true & established, or else he has a view like this: This very self of
mine — the knower that is sensitive here & there to the ripening of
good & bad actions — is the self of mine that is constant,
everlasting, eternal, not subject to change, and will stay just as it
is for eternity. This is called a thicket of views, a wilderness of
views, a contortion of views, a writhing of views, a fetter of views.
Bound by a fetter of views, the uninstructed run-of-the-mill person is
not freed from birth, aging, & death, from sorrow, lamentation, pain,
distress, & despair. He is not freed, I tell you, from suffering &
stress.
My analogy here is concerning different application windows running on a PC like the browser, a wordprocessor, a spreadsheet etc. Do they truly exist? Not quite - they are simply overlaid images on the screen by software (essentially 1s and 0s - electrical signals moving through electronic circuits), that goes off when the PC is switched off. Then do they truly not exist? That's not true either because they exist in the way that you can use them to do productive work. So, instead of discussing whether those application windows truly exist or truly not exist, we should view them from the perspective of how they arise and disappear, and arise again and disappear again, from a technical perspective.
The Yamaka Sutta discusses later on, that such wrong views come about due to associating the five aggregates with the self. This is also discussed in the Samanupassana Sutta (SN22.47).
"In the same way, an uninstructed, run-of-the-mill person — who has no
regard for noble ones, is not well-versed or disciplined in their
Dhamma; who has no regard for men of integrity, is not well-versed or
disciplined in their Dhamma — assumes form (the body) to be the self,
or the self as possessing form, or form as in the self, or the self as
in form.
And the same applies to the other four aggregates.
