Multimode optical cavities can be used to implement interatomic interactions which are highly tunable in strength and range. For bosonic atoms trapped in an optical lattice, cavity-mediated interactions compete with the short-range interatomic repulsion, which we study using an extended Bose-Hubbard model. Already in a single-mode cavity, where the corresponding interaction has an infinite range, a rich phase diagram has been experimentally observed, featuring density-wave and supersolid self-organized phases in addition to the usual superfluid and Mott insulator. Here we show that, for any finite range of the cavity-mediated interaction, quantum self-bound droplets dominate the ground state phase diagram. Their size and in turn density is not externally fixed but rather emerges from the competition between local repulsion and finite-range attraction. Therefore, the phase diagram becomes very rich, featuring both compressible superfluid/supersolid as well as incompressible Mott and density-wave droplets. Additionally, we observe droplets with a compressible core and incompressible outer shells.