Self-excited systems (SES) arise in numerous applications, such as fluid-structure interaction, combustion, and biochemical systems. In support of system identification and digital control of SES, this paper analyzes discrete-time Lur'e models with affinely constrained, piecewise-C 1 feedback nonlinearities. The main result provides sufficient conditions under which a discrete-time Lur'e model is self-excited in the sense that its response is 1) bounded for all initial conditions, and 2) nonconvergent for almost all initial conditions.