Tell me how, "I", which you have identified as only a thought, is important.
I am going to play devil's advocate here for a moment...
"I", "mine" is a repeating abstract thought, i.e. a concept, and is a crucial part of the model of the world by which thinking process operates. The modern adult life is full of abstractions, which need to be understood and manipulated by mind in order to keep everything in order. Jobs, bank accounts, property, relationships, responsibilities, hobbies and so on. All are abstract concepts. "I" is one of them, and it seems to keep this shaky structure intact, although at the very high cost. Job needs to be attended so that money flows into the bank account so that food appears on the table. How is it going to happen without abstract planning? The actor called "I" comes into play and lubricates/glues it all together. Without "I" there is so much friction in thoughts that they simply don't take off the ground of the immediate physical reality, which essentially makes you an idiot.
As they say in statistics, all models are wrong, but some are useful. I've been relying on "I" out of necessity to make sense out of this mess called life. I did try to learn how to constantly keep in mind that all these abstractions are constructed only for convenience, there is no actual entity behind them, but it just does not work for long. The illusion is too powerful for my brain not to start believing in it when it is in automatic mode.
There is another viable model though. At one point there was a drastic shift of attention in my world from the "point of view" to the "field of view" where everything, including myself, was clearly seen just as equally unimportant self-aware actors on the invisible stage, the "big mind". There was still abstract thinking, but it was more like a silent voice coming out of nowhere and belonging to nobody, not to "Andrei" who was just an actor playing a role. That's the closest to an "I"-less world that ever manifested in this experience, and as you probably can sense, it is a very fond memory of mine. But it's just a memory. Not a direct experience anymore. And I am here for a direct experience of whatever it happens to be. So no more philosophical essays.
All I am trying to say is that I don't try to get rid of "I", just see it for what it is, preferably not only when sitting on a meditation cushion. Fair enough?
When I say there is no you, that it's only a thought, and that you have never existed, is the fear coming up again?
Still nervous. Feeling like standing on the brink of a dark abyss. Wanting to jump, not knowing how... Strings attached. A sense of mental modeling going on, constructing the "non-existent I". You know what? There is a feeling that this chasing of my own tail can go on indefinitely, but that's just another thought-projection, making future out of now. A cardboard house. So close to the rabbit hole... Will sleep on this feeling.