Another example of a self referencing set impossible to construct for at least one candidate member under consideration is,
"A set of all sets that is not in this set."
Bounce out immediately upon inclusion, if this is physical it might just be fun.
An empty set is not that impossible. But can it contain a NULL set, because 'NULL' is not in the set after inclusion. No, a NULL set is a set. NULL is a denotation for being empty.
"A set of all sets that is not in this set." is the empty set only if all contradictions/paradoxs are IGORNED. The contradictions cannot be simply excluded; for this reason this is an un-constructable set.