Does self heating matter in a PT100 calibrated in a constant environment?
If you read some specifications, the self-heating of a platinum sensor can be typically 0.2 K/mW at 0 °C. 

So, at 10mA (which is quite a lot for a PT100) and a 0 °C ambient, a PT100 will be producing a warming power of 10mW and this will produce an error of 2 °C but heatsinking has to be considered. This document from Honeywell explains it fairly well: -