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 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 cavity-mediated attraction. We identify two different regimes of the phase diagram. In the strongly glued regime, the interaction range exceeds the droplet size and the physics resembles the one of the standard Bose-Hubbard model in a (self-consistent) external potential, where in the phase diagram two incompressible droplet phases with different filling are separated by one with a superfluid core. In the opposite weakly glued regime, we find instead direct first order transitions between the two incompressible phases, as well as pronounced metastability. The cavity field leaking out of the mirrors can be measured to distinguish between the various types of droplets.