Due to its fast and high resolution characteristics, dual-comb spectroscopy has attracted an increasing amount of interest since its first demonstration. In the terahertz frequency range where abundant absorption lines (finger prints) of molecules are located, multiheterodyne spectroscopy that employs the dual-comb technique shows an advantage in real-time spectral detection over the traditional Fourier transform infrared or time domain spectroscopies. Here, we demonstrate compact terahertz dual-comb spectroscopy based on quantum cascade lasers (QCLs). In our experiment, two free-running QCLs generate approximately 120 GHz wide combs centered at 4.2 THz, with slightly different repetition frequencies. We observe that $sim$490 nW terahertz power coupling of one laser into the other suffices for laser-self-detecting the dual-comb spectrum that is registered by a microwave spectrum analyzer. Furthermore, we demonstrate practical terahertz transmission dual-comb spectroscopy with our device, by implementing a short air path at room temperature. Spectra are shown of semiconductor samples and of moist air, the latter allowing rapid monitoring of the relative humidity. Our devices should be readily extendable to perform imaging, microscopy and near-field microscopy in the terahertz regime.