user13252: Parmenides, a presocratic philosopher, said: 

The only roads of inquiry there are to think of: one, that it is and
  that it is not possible for it not to be, this is the path of
  persuasion (for truth is its companion); the other, that it is not and
  that it must not be — this I say to you is a path wholly unknowable.

In short, we should bar our thought from an inquiry of what is not. Of course, we can say that "the apple is not red" there is nothing wrong with that, but unless a thing called an apple exist we can't say that "a thing is not an apple". 
In the same way, when we say " the aggregate is not self" unless there is a self our statement is a wrong inquiry because as Parmenides says "we can only speak about what is: what is not cannot be thought of, and what cannot be thought of cannot be."

user471: 
OP: unless a thing called an apple exist we can't say that "a thing is not an apple"

There is such a thing as a self, but it is not independent and standalone.
Please see this answer for details.
The Buddha used the analogy of a lute. There is such a thing as music, but if you break down the lute into its constituent components, you will not be able to find music. Music only arises out of the inter-working of the different parts of the lute, when it is assembled, constructed and tuned correctly.
There is music, but it does not exist standalone or independently of other things. The self similarly arises virtually from the interplay of other phenomena. To say that the music or the self do not exist at all, is incorrect.  "Sabbe dhamma anatta" means in all phenomena, there is no self, just as in all constituent parts of the lute, you cannot find something called music.

13252: <p>Parmenides, a presocratic philosopher, said: </p>

<blockquote>
  <p>The only roads of inquiry there are to think of: one, that it is and
  that it is not possible for it not to be, this is the path of
  persuasion (for truth is its companion); the other, that it is not and
  that it must not be — this I say to you is a path wholly unknowable.</p>
</blockquote>

<p>In short, we should bar our thought from an inquiry of what is not. Of course, we can say that "the apple is not red" there is nothing wrong with that, but unless a thing called an apple exist we can't say that "a thing is not an apple". </p>

<p>In the same way, when we say " the aggregate is not self" unless there is a self our statement is a wrong inquiry because as Parmenides says "we can only speak about what is: what is not cannot be thought of, and what cannot be thought of cannot be."</p>
 471: <blockquote>
  <p><strong>OP:</strong> unless a thing called an apple exist we can't say that "a thing is not an apple"</p>
</blockquote>

<p>There is such a thing as a self, but it is not independent and standalone.</p>

<p>Please see <a href="https://buddhism.stackexchange.com/a/25302/471">this answer</a> for details.</p>

<p>The Buddha used the analogy of a lute. There is such a thing as music, but if you break down the lute into its constituent components, you will not be able to find music. Music only arises out of the inter-working of the different parts of the lute, when it is assembled, constructed and tuned correctly.</p>

<p>There is music, but it does not exist standalone or independently of other things. The self similarly arises virtually from the interplay of other phenomena. To say that the music or the self do not exist at all, is incorrect.  "Sabbe dhamma anatta" means in all phenomena, there is no self, just as in all constituent parts of the lute, you cannot find something called music.</p>
