Is there any security risk in sending a dangerous file via email to oneself?

Most common email services don’t allow to attach file like exe files, or similar files that may contain security threats to a computer.

This can be bugging for users, but I can understand that, in general, the benefits are likely to outweight the damages.

But what I don’t get is that it’s forbidden to send a dangerous file if you are sending it to the same addres you are sending it from. Honestly, it is a file that the user itself has attached from his computer, so, it looks kind of pointless to try to protect the user from malicious files with a file he already owns.

Maybe no email service has ever wondered about this special case and they just block by default, but I extremely doubt nobody has ever considered that special use case, in which I believe, it would be better to allow to send whatever the user wants.

Is there any special risk for a situation like this, or some type of attack that could be taken advantage of?