No.

$ irb -r set
1.9.3p125 :001 > set = ObjectSpace.each_object(Set).to_set
 => #<Set: {#<Set: {...}>}>
1.9.3p125 :002 > set.include?(set)
 => false

However, the Enumeration of all Enumerations does contain itself.

1.9.3p125 :001 > e = ObjectSpace.each_object(Enumerator)
 => #<Enumerator: ObjectSpace:each_object(Enumerator)>
1.9.3p125 :002 > e.include?(e)
 => true

Why this is so is left as an exercise to the reader.