In addition to the other answers, pretty much all bolts are "self locking" at rated torque. Thats what the text books tell you anyway, although we all know that isn't the case in a "real world situation." Anyway, they are self locking bacause the friction between the threads can overcome the natural tendance for the bolt to rotate when pulled. (basically a thread is a ramp twisted around a shaft and its kind of like sliding a box down the ramp) The coarse threads are "steeper" meaning the frictional force applied to prevent the "box" from sliding must be greater, thus the normal force must be increased. To do that, you apply more torque.
Wow, that was more rambling than I thought it would be, but hopefully it makes sense.