Some bands actually do. It's usually cheaper and less of a hassle then to release your own music yourself.
Other bands just start up their own recordlabel to release their material. X-Japan is a good example for this. Yoshiki started up Extasy records to be able to release their own material, since the major recordcompanies weren't interested.
Independant labels usually sign bands with a small audience. There is a profit to me made with these kind of bands, but it's not that much. That's why the big boys don't bother with them.
Breaking into the record industry is like in the states ... very tough. Not everybody can be like Jon Bon Jovi and be found cleaning studio floors.
So, many bands play their music and have a small gathering in towns and cities but not really over a wide area. I guess fans or somebody says let's record our stuff and bands end up at cheap studios cut a few tracks and barely recover their expenses.
Some how ever make it big. WhiteBerry from Kitami Hokkaido were a local high school (or was it junior high?) where on a local TV program that went around Hokkaido looking up the latest rumor in around the country side. WhiteBerry just happened to be a band. They got 5 minutes on the program ... next thing I knew they were going National. lololo ... You just never know.
I was a great fan of Jovi, before he started making backstreet boys like stuff, all pop,and this was news to me.
And got his whole biography from the net. yeah, he was cleaning floors in his cousin's studio.
what a climb!!