Running Sela shouldn’t prevent you from setting up a self-hosted WordPress site.
You can download Sela for a self-hosted site here: https://wordpress.org/themes/sela/ – or through your self-hosted site dashboard, under Appearance > Themes.
If you’re having trouble transferring your site over, I’d suggest contacting Bluehost to see if they can help with the process.
You can also ask help over in the WordPress.org forums:
http://wordpress.org/support/
You’ll need a free WordPress.org account to post – if you don’t already have one, you can register here:
https://wordpress.org/support/register.php
When asking for help from either Bluehost or in the WordPress.org forums, try to explain in detail what isn’t working as you’d expect so people are better able to troubleshoot. Good luck!