lets pretend the miners are doing it.
they would not lose a penny
think about it.
the block they produce containing transactions THEY create. means they get their fee's back.
they dont even need to relay their own transactions to other pools. they just add them only to their own blocks that way other pools who solve blocks inbetween dont nab the fee's, because they dont get them pre block solution..
by having a pool fill its own blocks with its own tx's. when getting accepted/confirmed leaves other pools tx's left in their mempools. causing a back log.
along with blockstreams fee average mechanism then pushes the fee estimation up, which makes everyones tx's more expensive
Again, this "attack" benefits the pools/miners who aren't involved far, far more than those "mining their own fees".
Non-colluding miners get blocks full of real, fee paying transactions. Wow, they love this "attack".
Colluding miners get blocks composed of some real, fee paying transactions and some home brewed transactions with fees going back to themselves. Meaning, they get less real income from real, fee paying transactions.
Do this "attack" long enough and the other miners will simply render your hash rate irrelevant as they have more profit to buy more hardware.
I suggest you follow your own advice and "think about it". I won't even mention what happens when one of the colluding miner's blocks is orphaned and their "fee to themselves" transactions are known to the entire network.