I am not trying to sound like a cocky academic but I think that the answer is, because we are designed to be! And by design I am refering to the theory explained in the Egoistic Gene by Richard Dawkins. The main idea of his theory is that every human is born with a specific number of egoistic genes that make us want to think about ourselves first. The term egoistic refers to ego, coming from the greek word εγώ (myself). That means that every human is programmed to think about himself/herself first whether he/she likes it or not.

The shame goes for women, but I believe there are some other factors affecting men's Ego. It would be a nice excuse to just consider all of our actions 'genetically inevitable' and just go on with our life. But the thing is that we are also affected cultural, psychological and experiential factors subconsciously regulating our behaviour. (I wrote a post about those factors if anyone wants to check it. A human's life philosophy)

So in the end I believe that its not just men thing (although we unfortunately like to show it more) but an overall human tendency. The trick is to find someone that consciously loves you, not only because of what you are but for what you could be together-ego's aside ;)