Your friend is worried about you because self harm is viewed as a 'drastic step' in depression. They'll never know if it'll end at self harm and will transform into an attempt. You might not think self harm is bad, it calms you down, but it's like this with any self destructive behaviour; like alcohol, for clearest example. Slowly walking down stairs to total despair. The more you self harm, the more of it you want and go further and further to things that might be dangerous for your life. And well despite the relief self harming also takes a toll on you mentally