News flash, most pro athletes think highly of themselves. How many players give an honest answer to "who is the best player in the league", or "who is the best at your position?", or "who is the best at [random skill]?," or "who are the top [whatever's] in the league?"
You know that rookie AMA thread on Reddit last week, when asked who would win ROY, 10 of the 21 rookies answered themselves. Guys like James Young, Markel Brown, Spencer Dinwiddie, Jerami Grant, and Shabazz Napier all answered themselves.
Curry's answer is just a typical pro-athlete answer, although he may reconsider it if LeBron decides to go off for 50 while shutting Curry down next year, he'd probably still answer himself though.