Suppose your parents are first cousins. Then you and your brother are brothers, and you and your brother are second cousins. Indeed, you are your own second cousin. This scenario is conceptually identical to yours, except that with your scenario the common ancestors are many generations further into the past.
My scenario is not so far fetched. My parents are not first cousins, but I am descended from quite a few first cousin marriages and also from several second cousin marriages. For example, my maternal grandfather was the son of second cousins who lived next door to each other as children. In rural and sparsely populated counties as they were 100 years ago to 250 years ago (in my case), there were not very many people available to marry. So it shouldn't be too surprising that cousin marriages weren't that uncommon.
RM's relationship calculator is simply listing all relationships based on all common ancestors that it can identify.