When working with adolescents in mental health units, this was something I heard on an almost daily basis. Now as an aromatherapist I still hear it though admittedly much less often. If this is something you find yourself saying more than very occasionally it is something that needs challenging in one way or another.
One way of challenging this negative thought pattern is to actually give yourself something really nurturing. Something that in my view everyone deserves! While for some massage and aromatherapy is part of maintaining their body in good condition, for others it is a treat. Whichever way you view massage and aromatherapy for others, having an aromatherapy massage is a good way to balance out those feelings of not being worth it.
For some, those feelings of not deserving things are strong enough to count as a depressive illness and if based on my training as a mental health nurse and in various forms of psychotherapy since then I believe this to be the case, I will say so and can offer help in thinking about which route to go down in order to tackle this. Cognitive Behavioural Therapy (while not my favourite way of working) has a good evidence base. I do have knowledge about the best ways of accessing this either via the NHS or privately. Whether or not to take up any therapy is of course entirely up to the individual.