Self-pulsing in semiconductor lasers containing a saturable absorber is well documented. We propose an alternative mechanism leading to self-pulsing in vertical-cavity surface-emitting lasers. We specifically consider waveguiding effects and determine the conditions for self-pulsing. Our theoretical and numerical results agree with experimental observations reported by Willemsen et al. [Appl. Phys. Lett. 77, 3514 (2000)].