Alot of times its the only way that they can vent. Sometimes people cut just to get attention, which I'm pretty sure is a mental illness. Also it can run smoothly into suicidal tendencies.
I used to cut for the attention, but I got tired of the attention and stopped, then started up again because I realized it was the only way for me to vent. I was also very suicidal for a time, and still am a little, I'm just more content with living until my life ends.
So I'm a product of all three of those points.