Why do Lithium Ion batteries self discharge?
Wikipedia says: Self-discharge is a phenomenon in batteries in which internal chemical reactions reduce the stored charge of the battery without any connection between the electrodes. Self-discharge decreases the shelf-life of batteries and causes them to initially have less than a full charge when actually put to use. (see here).

It is typically caused by chemically unstable electrodes and by impurities in the electrolyte. In case of Li-Ion batteries you have minimal self-discharge, situation is much worse with Ni-Cd and Ni-MH. Some types of lithium batteries also make use of separator between the electrodes to further reduce it. These can get self discharge less than 1% a year. 

Self-discharge grows with temperature, that is why you usually want to keep them in cold.

Also note that self-discharge rates vary even within single batch made with the same process. It undergoes further changes with battery cycling, charging method and as it ages. More information on this is here