Recommendation systems rely on historical clicks to learn user interests and provide appropriate items. However, current studies tend to treat clicks equally, which may ignore the assorted intensities of user interests in different clicks. In this paper, we aim to achieve multi-granularity Click confidence Learning via Self-Distillation in recommendation (CLSD). Due to the lack of supervised signals in click confidence, we first apply self-supervised learning to obtain click confidence scores via a global self-distillation method. After that, we define a local confidence function to adapt confidence scores at the user group level, since the confidence distributions can be varied among user groups. With the combination of multi-granularity confidence learning, we can distinguish the quality of clicks and model user interests more accurately without involving extra data and model structures. The significant improvements over different backbones on industrial offline and online experiments in a real-world recommender system prove the effectiveness of our model. Recently, CLSD has been deployed on a large-scale recommender system, affecting over 400 million users.