Most self-published authors say that because it does seem like Amazon readers don't care for shorts. Shorts seem to always get the worst reviews, snarkiest comments, or either just ignored on Amazon. Not saying you can't sell shorts there because it can depend on the genre. I did well on Amazon a few years back when I was releasing my interracial romance shorts but overall it's novellas and novels that will make the most money.
But, I enjoy writing shorts sometimes and a silver lining is that shorts can do well on other platforms. It's weird that shorts don't do as well on Amazon or in KU but they can do well on other platforms and you can price high there and sell. I sell my old shorts for 2.99 on other platforms and on Barnes and Noble (which is my second best seller to Amazon) I sell more shorts than full-lengths.
I wouldn't say there is no market for shorts in self-publishing but most SP authors only focus on Amazon. I agree with them on that. Just something about shorts doesn't appeal to a lot of Amazon readers it seems. On one hand, they feel like you should not be paid for a short story (I disagree) and on the other hand, readers in KU don't want shorts because they want their money's worth when they borrow books. They feel like they'll get more bang for their subscription if they can borrow bigger and more high-priced books.
If you want to focus on short stories I'd suggest going wide with them. In fact, when I write my next short I doubt I will even put it on Amazon.
ETA: Hold on. I just re-read your post. A book of 20,000 is not a short in the indie world. In the trade world, yes. But not in self-publishing. In self-publishing that length is considered a novella. Many authors do great self-publishing with novellas. E-publishing made the novella relevant again and it's an extremely popular length with ebook readers. This is not only a standard length for self-publishing but for e-presses as well. Most e-presses publish books in the range of 20,000 and even below. A short is something considered around 15,000 and under.
In self-publishing and ebooks, the lengths differ from trade publishers. In trade they consider 30,000 short but to self-publishing, some consider that a novel. I don't but many do.
So if that's the length of your books, depending on your genre, you should be fine on Amazon. If you write something like romance then 20,000 - 30,000 is the sweet spot in self-publishing and ebooks.