Why would you bother cooperating with an investigation if you’ve already received pardon for anything related to the inquiry?
It is possible Trump is engaging in his typical bluster, saying he has the authority to pardon himself just to make a point. That said, it also is a complete reversal of the promise to “drain the swamp.” Such an action fits perfectly within the parameters of an “establishment” politician using the power of his office to escape responsibility for his actions. His core supporters won’t agree, but they’re likely going to back him no matter what decision he makes.
Considering the pardon route is akin to juggling with swords if you’ve never done it before. It will likely end badly.