In naive set theory we can consider sets like:
$$ A = \{ x\mid x\ \text{is a letter of the English alphabet} \} $$ or $$ B = \{ x \mid x\ \text{is a painting of Picasso} \} $$ (Is this ↑ true?)
And maybe say that $$ \{``a",``b",``d"\} \subseteq A $$
Can you do the same in ZFC?
If any of the two above questions is false, how can you talk about these "informal entities"?