The instability of characters’ names in Cervantes’s Don Quixote de la Mancha is very important, mainly in Don Quixote, despite his famous sentence, “Yo sé quién soy” or “I know who I am” (1.5:73). Many critics have said that this procedure of changing the names produces ambiguity or relativism (Spitzer), oscillation (Castro), disintegration (Riley), or fragmentation (Johnson). On the contrary, following Wittgenstein’s and Butler’s philosophy of language, I propose that Don Quixote uses the word as an instrument to build his identity. For him, the pronoun “I” in the sentence “I know who I am,” is more important than his several names, given to him either by himself or by others. These different names imply, more than a disintegration or fragmentation for Don Quijote, a way to build his identity through his contundent first-person subject pronoun.