I think I can guaranty that their favorite songs were not their own.
Plus I don't think any musician would go on record and pinpoint their all-time favorite song. They may pick a few. Plus, it changes from time to time.
Example: I used to think that Bitches Brew was the ultimate Miles album. This was before I completely learned the Kind Of Blue album and realized what I was listening to.
I'm fairly certain that Freddie Mercury's favorite Queen song was Somebody to Love. I think I read it somewhere within the book "Queen: Complete Works."