It is considered quite odd to start one's on fanclub. Many view it as a bit pathetic, actually. You see, it is more flattering when someone else makes you one, as it shows that someone really thinks you're an awesome person. It becomes more cool when others join, as that shows that they think you're awesome as well. I personally don't think there's anything "wrong" with starting one's own fan club, but I do understand why others might view it as a little "odd." I guess it might also depends on who makes their own, as some members could be viewed a "desperate for attention." (not saying this is your case)