There's the rub, then. You DO have an employee - YOU!
What HMRC is requiring you to do is to make an entry in respect of your companys' employees - if there is merely one of them and that is you, that what your company returns. What it wants you to do is make the necessary return so your company provides the summary of NI (employees and employers) and tax deducted at source and paid to them (either monthly or quarterly throughout the year) is respect of yourself.
Even though you are the sole employee or your company, you have to treat the relationship with HMRC as two separate entities - the company you run and you as an employee of a company.
If you use HMRC's own software package to run your 'payroll' this software is capable of running the P35, issuing you with a P60 for you as an employee, and making the entry to HMRC in respect of your 'employee'.