Self-harm (of any kind--cutting, burning, dripping hot wax on yourself specifically to feel pain, indulging in reckless or unhealthy behaviors specifically for the danger and damage of it) is a maladaptive and inappropriate coping mechanism because it demonstrates a complete lack of valuing oneself.
When I put a similar question to my T, I was a teenager. I'd cut using a sewing needle or a safety pin. It was not dangerous. I'd dig little trenches in my skin over and over and over again until I felt relief. If I didn't, I'd pour nail polish remover on the wounds, hoping to find that sense of peace I only seemed to get through really knowing I'd hurt myself. There was no terrible danger of hitting a vein or anything. I had no desire to scale up to knives or razors: my method hurt more than a sharp blade and was "safer."
But it was really worrying behavior. When my T explained why, she asked if I would go through my closet and cut up all of my clothes or my bed sheets. I said no. Because I valued those things. I didn't want to destroy them. Me? I had not a care in the world for myself. Not a single care.
These days, if I have a desperate desire to self-harm, I turn to intense physical exercise. It can be bad if it becomes compulsive and constant (been there, too), but it allows me to put myself through a sort of pain that contributes to my health instead of damaging my body. When I wake up, sore and tired, I feel so much better off than I did when I woke with the shame and scars from my former "coping mechanism."