This paper is devoted to the theoretical justification of spontaneous orientational order in magnetic fluids. We study the self-consistent solutions of the Bogoliubov-Born-Green-Kirkwood-Yvon equation connecting the one-particle distribution function with the pair correlation function. This self-consistent approach is used in the specific density functional method and proves to be equivalent to the mean field theory. On the basis of the second-order perturbation method over the intensity of dipole-dipole interparticle interaction the following effect is discovered: the self-consistent density functional approach leads to the spontaneous "ferrimagnetic" state of the magnetic fluid induced by the dipole-dipole interaction. This strange result seems to be physically meaningless and prejudices the validity of the density functional methods and mean field theories applied to orientational microstructure in ferrofluids.