Saffi can be the target of its own ability. In this case, the ability won't resolve because its target is illegal, so Saffi won't be returned to the battlefield, but any abilities that check when or if a creature dies will see that it died.

Saffi's effect works only once. If the target creature dies and is then returned to the battlefield, it's considered to be a new creature. If that new creature dies, it won't come back.