Daniel Davies one way to think about this is that if you're saying that in a world without concrete entities there would also be no sets, then you (arguably) need some way of distinguishing between "the set of all sets" and "the set of all sets not members of themselves". If you're a Platonist, this is simple, because you just say that there existed an abstract, non-concrete entity called "the set of all sets", and there did not exist such an entity called "the set of all sets not members of themselves".
^^^^^^^ CB: Take the set of all sets that don't contain themselves. Does it contain itself ? If it does then it doesn't. If it doesn't then it does. :>)
