Let's take everyone's favorite party-killer, monstrous crab. If said creature attacks an opponent with claw #1 and initiates improved grapple, can the crab then attack the same opponent again with the 2nd claw attack and join its own grapple on that creature since the monstrous crab itself is not considered to be in a grapple?
A creature can't join a grapple against a foe that it's already grappling
The Player's Handbook on Joining a Grapple, in part, says
If your target is already grappling someone else [i.e. not you!], you can use an attack to start a grapple, as above, [to join a grapple] except that the target doesn’t get an attack of opportunity against you, and your grab automatically succeeds. You still have to make a successful opposed grapple check to become part of the grapple. (157)
(Emphases mine.) So, while the monstrous crab that used the improved grab ability and suffered the substantial penalty is not considered grappled, his foe is not grappling someone else and is grappling the monstrous crab! Hence the rules sadly forbid the monstrous crab from chipping in and helping itself grapple its foe.