Why can't I send mail to my own domain using PHP?

If you mail server is hosted on a different server than your web host, you need to disable the local webserver.

Like if I have my website www.example.com and I try to send a mail to vaibhav@example.com, by default my mail will be delivered to the local mailbox that is the mail server on the local web host.

CPANEL gives you the option of selecting a remote server to deliver mails, like if I use google apps to send and receive mails for my domain example.com, I will use the MX entry corresponding to the mail server of google.