I guess it depends on why you're listening. Since I do a lot of performing, I watch and listen to recordings of what I've done to get a better idea of how well certain things worked or didn't work. When you're playing, it's a different point of view. Yeah, you usually have a pretty good idea how well something worked, but listening to a recording later gives you something much closer to the audience's perspective on what you've done. It's more objective.
To me, it's much like professional ball players reviewing the game tapes after a game. Yeah, you know you only got 2 yards on a play that was supposed to make 15, but let's take a look at why. What else was going on that you didn't take into account, what did you do wrong, and what did you do right? What other options were available that you might not have noticed at the time? Every one of those questions also applies to playing live music, especially in a group situation. If you're listening to your own playing and expect to get the same pleasure out of it that you get from listening to your favorite recording artists, yeah, you're dooming yourself to eternal disappointment and depression. But if you never review your own work, how can you expect to improve?