According to many researchers who have observed them, elephants lead very emotionally rich lives and demonstrate social attachment behaviors that appear to be every bit as genuine as those in great apes (that includes us!).
They're also pretty good painters.
The current evidence strongly suggests that elephants actually are self-aware. That statement comes straight from a well-respected veteran researcher in animal cognition, and he's not alone in his position. I had the opportunity to take one of his classes and I got the impression that he's pretty conservative about these sort of things, so to hear him say that definitely grabbed my attention.
Given that elephants are descendants of wooly mammoths, it's plausible that their wooly ancestors would have similar consciousness and social behavior. Hence, the ethical concern.