Warning: the below post discusses short fiction in an overall arc, not just self-publishing.
I've not written a lot of short fiction, but what I have written has done all right. I'd forgotten that I have a couple of unsold pieces, so I need to get off my butt with those here soon
I write chiefly SF&F shorts. However, I've written a couple of literary pieces assuming I'd never sell them. One in particular was only 600 words and I sold for nearly $70 earlier this year. Even I was surprised about that this year.
I have a few friends who write romance/erotica shorts for smaller epublishers and are doing very well with that. Likewise, I have one friend (acquaintance?) who has done good with the SF/F pro markets and the higher paying Canadian markets (which are rarely "pro" payers, but who are well respected in the field).
I don't know anyone who is writing mystery or thriller shorts.
If you're looking to self-publish them, write whatever one you want. If you are looking at going through anthologies, write one that can fit within the themes. If you are looking at submitting to magazines, write what is buying bought.