In the ocean of mind, there is no fixed point to stand on, so all we do as mistaken beings is hold on to our initial impulse of trying to grasp at such a fixed point. This impulse of grasping itself becomes our first reference point, called "me." It is, in a sense, a very basic self-justification for our existence. "I grasp, therefore I am." Gradually, these reference points become more and more solidified through additional layers of conceptual paint and glue.
Finally, we have managed to convince ourselves of the hard-and-fast reality of our magnificent work of art--this self-spun sophisticated cocoon that ensnares us--to such a degree that we feel it is the most natural thing in the world and hold on to it for dear life.