Millimeter Wave (mmWave) communications with full-duplex (FD) have the potential of increasing the spectral efficiency, relative to those with half-duplex. However, the residual self-interference (SI) from FD and high pathloss inherent to mmWave signals may degrade the system performance. Meanwhile, hybrid beamforming (HBF) is an efficient technology to enhance the channel gain and mitigate interference with reasonable complexity. However, conventional HBF approaches for FD mmWave systems are based on optimization processes, which are either too complex or strongly rely on the quality of channel state information (CSI). We propose two learning schemes to design HBF for FD mmWave systems, i.e., extreme learning machine based HBF (ELM-HBF) and convolutional neural networks based HBF (CNN-HBF). Specifically, we first propose an alternating direction method of multipliers (ADMM) based algorithm to achieve SI cancellation beamforming, and then use a majorization-minimization (MM) based algorithm for joint transmitting and receiving HBF optimization. To train the learning networks, we simulate noisy channels as input, and select the hybrid beamformers calculated by proposed algorithms as targets. Results show that both learning based schemes can provide more robust HBF performance and achieve at least 22.1% higher spectral efficiency compared to orthogonal matching pursuit (OMP) algorithms. Besides, the online prediction time of proposed learning based schemes is almost 20 times faster than the OMP scheme. Furthermore, the training time of ELM-HBF is about 600 times faster than that of CNN-HBF with 64 transmitting and receiving antennas.