No, I do not believe you are being selfish. Any decision you make regarding your marriage that you both feel would benefit you would not be a selfish move. If your husband has said that to you, it may mean he doesn't want to end the marriage. If you feel you are being selfish by wanting out of the marriage, then you may want to take a look at why you are feeling that way. People in a marriage care for each other but they also need to care for themselves. If the marriage is making you more miserable than happy, you are not being selfish to consider other options.
You said that you tried therapy. Is there a reason why he doesn't want to go anymore? How long did your therapy last? It may benefit you both if you tried another therapist, especially if you feel the other therapist didn't help. Finding a therapist is much like finding a regular doctor, you need to feel comfortable and that you are receiving the treatment you need. This assumes you both still want to try working on the marriage.
If you attend church, you can also speak with your pastor. They are usually trained well, especially in dealing with marital issues.
I hope this helped,