Why Every inductor has small capacitances between adjacent turns, since the turns are conductors separated by insulation or air. This distributed capacitance appears effectively in parallel with the coil's inductance, forming a parallel resonant circuit at the self-resonant frequency. Below that frequency the part behaves like an inductor; above it the capacitance dominates and it acts capacitive, which is why real inductors are only usable well below their self-resonance.
Watch out Skin effect is tempting because it is another RF parasitic, but it only raises the conductor's AC resistance by pushing current to the surface; it adds loss, not resonance. Dielectric loss in the coil form likewise adds resistance rather than the capacitance needed to resonate.
Adjacent turns are tiny capacitor plates: L plus that stray C equals self-resonance.