Self employed means you are the business owner and the business is not limited or incorporated etc.
You work for yourself, not another person or company.
Someone can own an business outright, eg. all the shares of a limited company - but they are still an employee if they work for it, the company is the employer.
In law, a limited/incorporated company or business is effectively a "person", a separate legal entity, so even any nominal owners who are part of the business are employees of the business and not self employed, in that case.