Optical coherence tomography (OCT) helps ophthalmologists assess macular edema, accumulation of fluids, and lesions at microscopic resolution. Quantification of retinal fluids is necessary for OCT-guided treatment management, which relies on a precise image segmentation step. As manual analysis of retinal fluids is a time-consuming, subjective, and error-prone task, there is increasing demand for fast and robust automatic solutions. In this study, a new convolutional neural architecture named RetiFluidNet is proposed for multi-class retinal fluid segmentation. The model benefits from hierarchical representation learning of textural, contextual, and edge features using a new self-adaptive dual-attention (SDA) module, multiple self-adaptive attention-based skip connections (SASC), and a novel multi-scale deep self-supervision learning (DSL) scheme. The attention mechanism in the proposed SDA module enables the model to automatically extract deformation-aware representations at different levels, and the introduced SASC paths further consider spatial-channel interdependencies for concatenation of counterpart encoder and decoder units, which improve representational capability. RetiFluidNet is also optimized using a joint loss function comprising a weighted version of dice overlap and edge-preserved connectivity-based losses, where several hierarchical stages of multi-scale local losses are integrated into the optimization process. The model is validated based on three publicly available datasets: RETOUCH, OPTIMA, and DUKE, with comparisons against several baselines. Experimental results on the datasets prove the effectiveness of the proposed model in retinal OCT fluid segmentation and reveal that the suggested method is more effective than existing state-of-the-art fluid segmentation algorithms in adapting to retinal OCT scans recorded by various image scanning instruments.