It's quite simple:
Neither HTTP, nor HTTPS with an untrusted certificate, are secure.
However, you don't expect HTTP to be secure. You do expect HTTPS to be secure. That's what the 'S' stands for.
Therefore, if a self signed certificate is used, and you haven't added your authority to your browser, the browser will warn you that something you expect to be secure isn't necessarily, and prompts you to check that you are, indeed, using the right certificate, and someone isn't intercepting your communications.
Every browser in the world allows you to add your own CA so you can use self-signed certificates without further prompting. If you've chosen not to, it's fairly reasonable for them to say "Wait, this guy has explicitly asked for a secure connection, but I have no way of verifying this connection is secure: I better say what I know and ask for further instructions."