The invention relates to the technical field of producing industrial molybdenum oxide from molybdenum sulfide concentrates, mainly providing a molybdenum concentrate self-heating roasting method and a device thereof. In the invention, a rotary kiln with a kiln body heat exchanger is utilized to roast molybdenum concentrates to produce the industrial molybdenum oxide; in the roasting process, the heat released by the roasting reaction of the molybdenum concentrates is utilized to preheat air entering from the kiln body heat exchanger, the preheated air is fed into the rotary kiln from the discharge end of a kiln head so as to be subject to roasting reaction together with the molybdenum concentrates, heat is supplemented to materials in a residual sulphur removal region at the rear segment of the rotary kiln, and the temperature of a reaction high-temperature region at the middle segment of the rotary kiln is reduced; and after the starting up process, the molybdenum concentrate roasting process is completed under the state of no external heat supply. The invention solves the problems of overheat during the roasting main reaction period of the molybdenum concentrates and insufficient heat in the later period of desulfuration and the difficulty of feeding cooling air and discharging hot air for a high temperature rotary shell; and the device is simple, heat allocation is reasonable, temperature adjustment of each segment in the kiln is flexible, no external heat source is needed, the product quality is high, and the equipment yield is large.