Why not try actually inside Selfridges. There are quite a few eating places/bars in the shop on various floors.
Within the food supermarket area at the side of the store nearest to Marble Arch there are a couple of sandwich bar areas.
Gordons bar (in Menswear area) is really nice, do things like mezze and italian platters.
Have a look a this link, shows all of the eateries in Selfridges
http://www.selfridges.com/index.cfm?page=1186
There's also a Wagamama on the road behind the store (Wigmore St, I think).