I have a feeling the question's been asked by someone who is naturally very confident and upbeat and can't understand why you wouldn't be, why you would "choose" to be unconfident or downbeat. Kind of like wondering why someone would "choose" to be gay or whatever.
There may be a touch of mental attitude and bravery in it, but there's also a whole lot of intrinsic nature and probably a good globbet of nurture in it. I used to have terrible confidence and depression issues, and though I'm a lot happier with my lot now and don't get complete, subconcious-level, freeze-up stagefright when having to expose myself to others' scrutiny (public speaking, interviews, asking someone out, etc), it's still a hell of a challenge sometimes. Particularly standing up to pushy folk. I seem to have been lumbered with a massively submissive, timid brain that's only had such things reinforced throughout childhood.
Luckily I was both not particularly best pleased with this situation, so eventually forced myself to overcome some of the fear (including somewhat abortive but still useful public speaking night classes), and got in with some better, less poisionous friends as I got older who helped (mostly unwittingly, but not always) build me up a bit. Like I say, it's still not brilliant, I can have trouble finding the guts to hold my own in a heated debate particularly when there are sensitive issues and/or very forthright, highly (over?) confident people on the other side, and kareoke is definitely out of the question unless I'm blind drunk, but it's improving. I have skills and abilities I have confidence and even pride in and friends, hobbies and a place of work with which I can exercise them, whilst trying to work around and not be too crippled by the things I'm worse at - some of which appear to actually have a clinically psychological basis after some testing. It's maybe finding that sense of self-worth, and some rhyme or reason to why it's not everything you'd wish it to be, coming to terms with it and realising it's no worse than most other people's human imperfections, that's the crucial bit.
One small part choice (mainly, the choice to do something about the self-destructive rut you're in, to rise above and make yourself better, which may require others' stimulus to give you the initial kick), one large part built-in awesomeness or crappiness which is either to your advantage, or is a disadvantage to be tackled.
Holy crap that started out as a "wat r u talkin abt l4m3r" weak-ass put down and got very philosophical far too quickly