The brain predicts an action before it actually occurs. When you try to tickle yourself, the cerebellum - which controls coordination and balance - uses sensory feedback from your muscles and skin to predict the sensation.

The brain then sends signals to the other parts of the brain telling them that the tickle will happen. Therefore, you already sense that you are going to tickle yourself, so it doesn’t feel as strange. This doesn’t occur when another person tickles you because you are not expecting the tickle.