Because thats what $_SERVER['PHP_SELF'] ( you should be using that instead of just $PHP_SELF ) is. It's the path relative to the root of the webserver.
If you want just /filename.php, try this:
$NEW_PHP_SELF = $_SERVER['PHP_SELF'];
while (strstr ($NEW_PHP_SELF, "/")) {
$NEW_PHP_SELF = strstr ($NEW_PHP_SELF, "/");
$NEW_PHP_SELF = substr ($NEW_PHP_SELF, 1);
}