Those that physically harm themselves do so because they're mentally ill. Mentally unhealthy people can't really be expected to make the best decisions. Of course it's easy to dismiss it as "stupidity" (no, just no) when you don't understand it and can't imagine yourself doing it, but not coincidentally, those who say such things have never experienced anything that could drive them to the point of self-destructive behavior (drugs, erratic behavior, inflicting harm on yourself, suicide, etc.) in the first place.
For what it's worth (and this has sort of already been brought up), I read somewhere that the physical pain that you inflict on yourself triggers certain chemical reactions in the brain that lessens the emotional turmoil that's prevalent in your mind and provides you a temporary release from it. Usually the decision to hurt yourself also involves some sort of self-loathing as well, and there's a certain mindset (consciously or unconsciously) that tells you that you should be punished or hurt because you have little or no feeling of self-worth.
LOL @ Nero talking out of his ass again.