Hi! I know this was posted a while ago but I hope this helps anyone who is experiencing the same issue and happens to come across this question in the future:
This happens by default because your domain name matches either your server's hostname or a setting in sendmail's config file. You can force sendmail to send emails to your actual mail server instead of itself by following these steps:
Edit /etc/mail/sendmail.mc and add the following lines at the end:
define(`MAIL_HUB', `domain.com.')dnl
define(`LOCAL_RELAY', `domain.com.')dnl
Make sure you including the trailing dot!
Run sendmailconfig so that the changes take effect, and restart sendmail just to be 100% sure:
sudo sendmailconfig
sudo service sendmail restart
Once you've done that, try sending an email to the same domain and you should see sendmail connecting to your domain's incoming mailserver(s) in the log file.