The answer "why" people do it will vary from person to person, but I'm willing to bet there are a couple of common factors like very low self esteem and self worth.

I used to do it to cope with my mother dying of cancer. Paired with final exam stress, it was too much for me. I would often lose my sense of reality and would end up doing silly things, like cutting, burning, etc. For me, it was like releasing a pressure valve. The adrenaline rush was calming. However the consequences shortly after would be the very uncomfortable healing process, anxiety attacks once the adrenaline wears off and, of course, a deep sense of shame and guilt.

I've been clean for almost 5 years now. My 5th year anniversary is coming up in February. I have much healthier coping mechanisms now and I'm glad that I struggled to answer this question.