The issue is that usually, if you are leaving a group, you seek the permission of the others in the group first. Obviously, this is just a polite fiction; you aren't really asking their permission, just giving them the opportunity to say goodbye or make any other parting remarks. You do, however, typically say, "Excuse me" or "If you'll excuse me" or something like that.
If the group is large, for each departing person to go through this routine is more disruptive than it's worth. Therefore a person "excuses himself": he doesn't even pretend to seek permission, and just slips away.
Therefore, actually saying "I will excuse myself" when you're in a group of only two or three is slightly aggressive. You're hinting that you're bored or uncomfortable or have some other practical reason for not choosing the more polite exit.