If something is self-adhesive, it already has a sticky side, so you do not need glue, tape, or (with old envelopes and stamps) a lick of water to make it stay. Stickers, envelopes, stamps, labels, and some bandages are often sold this way: you peel off a backing paper and press. 'Self' here does not mean the object is doing something clever; it means the stickiness is built in. It is a packaging and product word — you see it on boxes more than you hear it in chat. Though actually, once the thing is on the wall, people just say it is sticky, not self-adhesive.