The axioms of ZF define what a set is by:
- $\omega$ is a set
- If $x$ and $y$ are sets, then $\{x, y\}$ is a set
- If $x$ is a set, then $\bigcup x$ is a set
- If $x$ is a set, then $\mathcal{P}(x)$ is a set
- If $x, y_1, ..., y_n$ are sets and $P$ is a statement free variables $x, y, z_1, ..., z_n$, then $\{z \in x : P\}$ is a set
and also defines equality between sets by the axiom of extensionality.
But I don't understand why we can't just add "nothing else is a set" as an axiom to the list, as we usually do when defining a certain mathematical object.
Wouldn't adding that axiom solve the problem of some statements being independent? If we can't prove a set exists, then it means it can't be produced using the rules listed above, so it's not a set.