In a sense, everyone talks to themselves.
Not necessarily out loud, but their conscience and shit.
Really isn't out of the ordinary when you think about it.
In a more Psychological aspect, humans are a social species. Everything we do is based off relationships.
When we think things through, and look at it "objectively", our minds are simulating someone completely different, which sometimes represents itself as "your conscience".
AKA: Talking to yourself.
So yes, it's a perfectly normal thing to do. If you DIDN'T do it, that obviously means you have some SERIOUS problems .-.