Am I entitled to sickness benefits if I'm self-employed?

You do have the right to it, but you need to be registered with INSS as an individual contributor - that's mandatory. If you work for yourself but don't contribute, you won't be able to get sickness benefits. The thing is, you can't be receiving another INSS benefit at the same time, and you need to prove through an INSS medical examination that you were unable to work for more than 15 days.