Large Language Models (LLMs) have demonstrated remarkable capabilities, yet their further evolution is often hampered by the scarcity of high-quality training data and the heavy reliance of traditional methods on expert-labeled data. This reliance sets a ceiling on LLM performance and is particularly challenging in low data resource scenarios where extensive supervision is unavailable. To address this issue, we propose a novel paradigm named LANCE (LANguage models as Continuous self-Evolving data engineers) that enables LLMs to train themselves by autonomously generating, cleaning, reviewing, and annotating data with preference information. Our approach demonstrates that LLMs can serve as continuous self-evolving data engineers, significantly reducing the time and cost of post-training data construction. Through iterative fine-tuning on Qwen2 series models, we validate the effectiveness of LANCE across various tasks, showing that it can maintain high-quality data generation and continuously improve model performance. Across multiple benchmark dimensions, LANCE results in an average score enhancement of 3.64 for Qwen2-7B and 1.75 for Qwen2-7B-Instruct. This autonomous data construction paradigm not only lessens reliance on human experts or external models but also ensures data aligns with human preferences, offering a scalable path for LLM self-improvement, especially in contexts with limited supervisory data. Code is available at: https://anonymous.4open.science/r/LANCE.