The reason why evil people don't think they are, is that 'evil' is a word used to dehumanise an enemy and justify the killing/exploitation of them. For example, in the allied (me being from the UK) attack of Okinawa the Japanese civilians committed suicide because of their fear of the evil U.S. The taliban are evil to Americans, the Palestinians are evil to Israelis, the Pope is evil to Protestants, the U.S. is evil to Cubans.
People might me selfish, exploitative, be uneducated, vengeful, unware, mentally ill, or have no moral concionse but no-one is evil. Evil is a word used by people promoting propaganda or in comic books.