That requires some negotiation to establish the link, doesn't it? I think the chip is blown and reports link erroneously.
It actually is possible for a gigabit NIC to establish link with itself, but it requires four different wires to be correctly looped back to another four wires. Highly unlikely to occur by random fusing of ESD diodes, but I have built a cable which does that.
edit
Nope, my cable only achieves 100Mb/s by pretending to be a two lane crossover cable. My NIC fails to sync up at 1G with it.