Accurate description of the excess charge in water cluster anions is challenging for standard semi-local and (global) hybrid density functional approximations (DFAs). Using the recent unitary invariant implementation of the Perdew-Zunger self-interaction correction (SIC) method using Fermi-Löwdin orbitals, we assess the effect of self-interaction error on the vertical detachment energies of water cluster anions with the local spin density approximation (LSDA), Perdew-Burke-Ernzerhof (PBE) generalized gradient approximation, and the strongly constrained and appropriately normed (SCAN) meta-GGA functionals. Our results show that for the relative energies of isomers with respect to reference CCSD(T) values, the uncorrected SCAN functional has the smallest deviation of 21 meV, better than that for the MP2 method. The performance of SIC-SCAN is comparable to that of MP2 and is better than SIC-LSDA and SIC-PBE, but it reverses the ordering of the two lowest isomers for water hexamer anions. Removing self interaction error (SIE) corrects the tendency of LSDA, PBE, and SCAN to over-bind the extra electron. The vertical detachment energies (VDEs) of water cluster anions, obtained from the total energy differences of corresponding anion and neutral clusters, are significantly improved by removing self-interaction and are better than the hybrid B3LYP functional, but fall short of MP2 accuracy. Removing SIE results in substantial improvement in the position of the eigenvalue of the extra electron. The negative of the highest occupied eigenvalue after SIC provides an excellent approximation to the VDE, especially for SIC-PBE where the mean absolute error with respect to CCSD(T) is only 17 meV, the best among all approximations compared in this work.