In order for the relation $\in$ to be reflexive, it must be true that $A\in A$ for each set $A$. As Halmos points out, this is not true. Just about any set $A$ you choose will give a counterexample. For example, take $A = \mathbb N = \{0,1,2,\ldots\},$ the set of natural numbers. Then $A\notin A$, because $\mathbb N$ is not itself a natural number.
For an even simpler example, take $A = \{0,1\}$. Then $A\notin A$, as $\{0,1\}\neq 0$ and $\{0,1\}\neq 1$.
And for the smallest example (which is not the same as the simplest example, I suppose), take $A$ to be the empty set $\emptyset$. Then $A$ has no elements, so it is certainly not an element of itself.