I think on some level it's seen as self-indulgent because you're eternally wrapped up in your own issues. I notice that I am pretty self-absorbed on the whole. I was never a very giving person, and I do seem to be my own worst enemy a lot of the time. I dislike that about myself, but I also acknowledge that I never wanted to be this problematic. I live a very isolated life, so it certainly isn't for attention.
The people that say depression is selfish are likely the same ones who feel it is a choice. To those people, I say "bite me."