A system consisting of two coupled Fabry-Perot resonators, one of them nonlinear, with an additional feedback between them is studied experimentally and theoretically. The dependence between the phase shift δφ of the resonator 2 and the laser-induced thermal load Q applied to the resonator 1 is essentially nonlinear. This nonlinearity of the additional feedback in the double resonator system is shown to make possible its self-oscillations and the existence of the tristable 8-shaped hysteresis curves. The frequencies of the observed self-oscillations are in the range from 100 Hz to 100 kHz, their shapes varying from sinusoidal to square and sawtooth.