Within the literature, there is much debate regarding the loss or persistence of self in the context of dementia, particularly advanced dementia. Yet there is a lack of consensus as to what constitutes self. Sense of self for people with dementia can be vulnerable to the attitudes of others, impacting how others see them and how they see themselves. This has implications for person-centred care and support, wellbeing and autonomy. The aim of this study was to generate a theory, explaining how people with dementia process or resolve issues relating to sense of self, understood primarily in terms of their main concern of losing me. Classic Grounded Theory methodology was used to achieve the study aim. Concurrent data collection and analysis consisted of 26 semi-structured interviews and six published autobiographies written by people living with dementia. Person and Public Involvement (PPI) was used to enhance relevancy, robustness and meaningful engagement with people with dementia. The theory of Holding on to Me was generated and consists of three main properties: Holding Tighter, where individuals hold tighter to the core elements of themselves, who and what has meaning for them. Letting Go, where individuals let go of certain aspects of their lives they can no longer manage or control in order to hold on to their overall sense of self. Finally, individuals engage in Relational Grappling, sustaining and forging connections that assist in achieving their goals, whilst balancing these relationships with maintaining sense of self and independence. This research provides a dynamic multivariate theory of how people living with dementia hold on to their sense of self. It offers valuable insights for families, caregivers, healthcare providers, and policymakers, in terms how the self can be recognised and supported in dementia, impacting wellbeing, promoting independence and autonomy and reduceing excess disability.