Self-esteem, say, zero (3)
I believe the answer is:
ego
'self-esteem' is the definition.
(ego can mean one's sense of self)
'say zero' is the wordplay.
'say' becomes 'eg' (both can mean for example).
'zero' becomes 'O' (O resembles 0).
'eg'+'o'='EGO'
(Other definitions for ego that I've seen before include "Sense of identity" , "Morale" , "Conceit - the Latin "I"" , "One's self-image" , "Conscious mind" .)