In naive set theory ∅ = {∅} = {{∅}}?

No, it is incorrect.

• ∅ is the empty set.
• {∅} is a set, containing exactly one item: The empty set.
• {{∅}} is a set, containing exactly one item: A set with one item, which is the empty set.

Doesn't the symbol ∅ intrinsically imply that this is an empty set which contains it self?

You're confusing two things here: set membership and subsets:

1. ∅ is a subset of every set
2. but it is not a member of every set, just like 1 is not a member of every set either

Example

If you have two items, a and b, and you are to construct the set of all possible combinations, choosing 0 to all items, this will be your solution:

{∅, {a}, {b}, {a, b}}

Naturally, every possible combination is represented by a set, that contains the chosen items. And the set of all possible combinations is (obviously) represented by a set containing all those combinations (i.e. sets), now we have a set of sets.

• We can choose no item at all: ∅ is part of our solution
• We can choose one item: {a} and {b} are part of the solution
• We can choose both items: {a, b}

Note: This is called the power set of {a, b}, usually denoted P({a, b}).

Maybe you think of ∅ as "nothing", because it's empty. However, that's quite far from the truth, an empty set is very "real", it's not nothing. You wouldn't say an empty glass is nothing, would you?