Does ZFC allow self-reference?

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I heard that, "ZFC theory doesn't allow self-reference."

But I don't know exactly what it means. As we can see in the proof of Godel's incompleteness theorem, we can use method of "Diagonalization" and we can make a self-reference sentence in ZFC.

It means,

P : a statement mentioning a statement whose Godel number is i

and by diagonalization technique, when P's Godel number is i, P can be a self-reference sentence.

What's the meaning of "ZFC theory doesn't allow self-reference."