Self-oscillation refers to the steady-state periodic motion maintained by the mutual coupling of parts within system itself, which can compensate for damping dissipation through periodically absorbing energy from non-periodic external stimuli. Recent experiments have demonstrated that the uneven thermal contraction in the cylindrical rod can drive its forward self-rolling on a hot surface. In current paper, by introducing a cone angle to the rod, we fabricate a conical liquid crystal elastomer (LCE) rod to investigate its rolling on a hot surface. Our experiments show that the thermally-responsive conical LCE rod can self-roll and circle on a flat hot surface at a uniform temperature. We propose a thermomechanical model to elucidate the mechanism of self-rolling and circling and calculate the rolling and circling angular velocities of the conical LCE rod. The theoretical results demonstrate that the rolling angular velocity depends on the Biot number, cone angle, rod length and heat inflow. The theoretical predictions are proved to be consistent with the experimental results. The self-rolling and circling of the conical LCE rod can retrace its original position through a curved trajectory, offering the benefit of circumventing extensive heated surfaces and maneuvering around obstacles or traps. Such self-rolling and circling system based on conical LCE rod may constitute novel designs for self-cleaning sweepers, energy harvesters, active machinery, mass transport devices and so on.