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The language reference says this in section 3.2:
 
~
Built-in functions
 
A built-in function object is a wrapper around a C function. Examples of built-in functions are len() and math.sin() <...> Special read-only attributes: <...> __self__ is set to None (but see the next item) <...>.
~
That is not the case:
ActivePython 3.2.2.3 (ActiveState Software Inc.) based on
Python 3.2.2 (default, Sep 8 2011, 10:55:13) [MSC v.1500 64 bit (AMD64)] 
on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> len.__self__
<module 'builtins' (built-in)>
>>> open.__self__
<module 'io' (built-in)>
>>> import math
>>> math.sin.__self__
<module 'math' (built-in)>