There is no consequence to bidding on your own player (except other people might notice and stop bidding).
However, if you bid on your own player AND win the auction then you will have to pay the taxes, the player will be considered as a brand new player so his sales tax will be lowered, and he will count as a bought player so sales tax is lowered further for all players.
Basically, if you buy back your own player and try and sell him again straight away you will be paying more tax in general. However, if you haven't sold many players in the last 14 weeks then the tax might stay the same.