This phrase usually shows the person is indulging in negative feelings rather than trying to improve their situation. Instead of applying for new jobs, he just kept feeling sorry for himself after the layoff.
Pro Tip 2/3
Motivation Cue
This phrase is often used by others as a wake-up call to encourage someone to stop moping and start acting. You've been feeling sorry for yourself long enough, it's time to work on your resume.
Pro Tip 3/3
Non-literal Usage
Sometimes used hyperbolically to emphasize that someone's self-pity is excessive or unwarranted. He missed one basket and started feeling sorry for himself, as if the game was lost already.