How often do you speak your more intimate thoughts aloud to an empty room? Probably not often, but writers use this little trick all the time. And frankly, it's bad writing. Don't do this, I beg of you. Many people do not have conversations with themselves aloud, so I don't know why so many authors are making their characters do it.
Don't get me wrong. I have talked to myself. Catch me in a store during the Christmas season, and you may even see me having a rather animated talk with myself. But rarely do I ever stand in the middle of a room and pour my heart out to the walls. When I'm talking to myself, it's much more "didn't I buy that last year?" and "Well, if I knew what her size was..." It's not "I always wanted Ronnie to love me. I don't understand why he doesn't. Maybe it's because I talk to myself so much." See the difference?
Obviously, having a character talking to themselves is a good way to reveal the character's feelings on a page. There are some instances where it's just not possible to step inside a character's head, so a little dialogue makes things easy. But writing books is not supposed to be easy, and most people don't share their deepest feelings with empty air. Charters shouldn't, either, and I'm not saying that to make it harder. I'm saying that for all the readers out there who are sick of it.
There are other ways to show a person's innermost thoughts and feelings without engaging empty air. Maybe they write a letter and end up tearing it up. Maybe they say a prayer aloud, which makes more sense. Maybe they have a conversation with someone who is dead; a big somber cemetery scene is much more meaningful than standing in the department store trying to pick the right candle. What? I don't do that.
The point is, there are ways to have a one-sided conversation that make sense...and then, there's the other option.
But if you want your character to talk to themselves because that's the truth you want to show, that's fine. Just make sure you do it more than once, and establish that this person already has a penchant for talking to themselves. This way, it will feel a little more natural. Otherwise, you should always try to make your characters act in a real, relatable way.