> Alexander wept when he heard Anaxarchus discourse about an infinite number of worlds, and when his friends inquired what ailed him, "Is it not worthy of tears," he said, "that, when the number of worlds is infinite, we have not yet become lords of a single one?"

(Plutarch)

(But as far as we know he did think he was great. "Only sex and sleep make me remember I am mortal", "If I were not Alexander I would wish to be Diogenes", and so many other lines suggest he thought he was awesome, note those quotes are my paraphrasing.)