It means that if one part of the plastic touches another part, the two parts that touch each other will stick together. The plastic is "sticking to itself" because one part of the plastic is sticking to another part of the same plastic. When you use cling wrap to seal food, you don't need tape or glue to hold the plastic in place, because the parts of the plastic that touch each other will simply stick together.

It sticks to itself. It’s very sticky, so not only will it stick to other things, but if it touches itself it will stick to that as well. I don’t know if I can explain without using the word “itself”. The wrap and itself are the same thing. The wrap sticks to the wrap - it sticks to itself.