I would need actual examples of people who thought of themselves as villains here. (I realise this request may involve mindreading.)

Some do appear to be running through the Cool Villain pages on TVTropes, but would think of themselves as doing so to achieve an end. Some seem to have talked themselves into a position of moral ambiguity, where you can't do just one thing and someone will always get hurt and they might as well be the ones trying to make the least hash of it and achieve something better than bad. And the Xanatos gambits! It's quite dazzling having a party apparatchik describe to you their ridiculous gambit that they then seem to pull off. And wonder if the bit where they tell you about it was part of the gambit. Anything involving politics is a thirty Xanatos pileup every day anyway.

(It's not a counterexample to what you've said, but I think of Pol Pot's last recorded words, "Everything I did, I did for my country" and marvel at humans' power not to paint themselves as villains. Though that quote could arguably show slight awareness sneaking in.)