I think it's easy: you can't imagine that pain until you're in it, and frankly, they are not bearing the pain. They are dying on fire in extreme agony, until the burns destroy nerve endings I suppose. Then, it is simply as hard as covering yourself in disgusting volatile hydrocarbons, which is a very taboo act--consider pouring gasoline right on your head? Seems wrong doesn't it. It's just as hard as doing that and sparking a lighter. The rest is beyond your control, and then you die.
There is one I'm aware of who bore the pain and that is the Vietnamese monk Thich Quang Duc who self-immolated to protest the Vietnam-USA war of the 60s and 70s, and who is also in my contemporary historical lens the first [but nothing is new under the sun] of these self-immolations and the act which all self-immolations we witness are referencing. No doubt you will recognise the scene below:
I'd never consider it because I think the statement is only properly made if you can bear the pain. If it was possible to self-immolate while screaming and have that say "I'd rather die on fire than live in this world", then Thich Quang Duc ended that by saying "I can bear the pain of burning to death but I cannot bear the pain of what is being done to my country".