The unique series, painted six months prior to Warhol's fatal heart attack Feb. 22, 1987, gives a look into his personal fear of death, The Independent reported Saturday.
The paintings, which are anticipated to sell for more than $20 million, reportedly are viewed as Warhol's most poignant work partly because of their return to the artist's most famous silk-screen form.
Pop art silk-screen portraits of his from the 1960s include images of superstars Elvis Presley and Marilyn Monroe.
"What's important about his self-portraits is that it marked the rise of his own brand, that itself became iconic. Why these are so important is that he was coming to the end of his life and although he did not know this, he was certainly thinking of his life, mortality and posterity," Sotheby's auction head Francis Outred said.